How Do You Graciously Decline a Job Offer?

I'm at a crossroads, I just got a new job, been on it for three weeks now, but my boss is threatening on firing me if I dont learn the job skills faster. He knew when he hired me that I had the basic job skills, and was very happy to train me and mold me into what the company needs, but now it seems he has changed his mind and has given me a week to get up to par. I have applied for another job and scored the interview, but now my problem is what do I do if I get to keep my job and I get offered the new job? I know I'm looking too far ahead into the future, but I dont want to burn any bridges with a potential new employer, especially if my employer now decides to fire me anyway further down the road. I would like to keep this potential new employer as a back up. Both jobs have their pros and cons, potential new job pays better though. Anyone have any suggestions?