My advisor demands second authorship, but my collaborator contributed much more than him. I don't want to be unethical, what should I do?
Your supervisor sounds most unreasonable.  "The reason he claims for the second position is that my university pays my scholarship not my colloborators's school." Perhaps you should add the president of your university as the second author.  (Of course, don't actually do that: it would expose your supervisor's immature behavior in a very passive-aggressive way.)

My feeling is that given the callowness of your supervisor, you should consider yourself fortunate that you are first author. Isn't that what really matters?  That's not a rhetorical question, because in my field ordering of authors is strictly alphabetical, but I don't know of a field in which being second author means much.  So it may well be that your supervisor is just being petty without really harming any of your collaborators.  Anyway, it seems to me that you have already discharged your ethical responsibilities by suggesting what you think is a good ordering of the coauthors.  If the coauthors other than you disagree with the ordering among non-first-authors, isn't it really up to them?  If your other coauthors are among the ones who are advising you to put Professor Immature as second author: under the circumstances, I would go with that.  If on the other hand they object: well, of course they have that right, and they should hash it out with your supervisor.