I wouldn’t permit it, and that would go double if there are younger children in the house.
However, I would let them know about it well in advance, and in a non-dramatic, here’s-the-facts situation: “We can’t wait to see you and David for Thanksgiving! Just a heads-up, though, because I wanted to make sure you knew this in advance. We still have a house rule about non-married couples sharing a bedroom. We’d have you sleep with Sally in her room, and Dave would sleep in the guest room.”
That way, should they prefer to sleep together rather than stay at the house, the communication has been prior and clear about what to expect, and they can start looking at hotel prices. If your friend has never discussed this with them before, it’s not really fair to only bring it up on the day of, especially with hotels being pretty pricey and hard to find around the holidays.
I would also make a very strong effort to be as welcoming as possible to Dave. If Dave’s at all mature, he’ll understand about respecting the house rules of a place he’s staying, even if he doesn’t agree with them.