I am speaking the truth in Christ—I am not lying; my conscience bears me witness in the Holy Spirit— that I have great sorrow and unceasing anguish in my heart.
Romans 9:1-2 ESV

“My conscience bears me witness in the Holy Spirit that I have...” means “My conscience confirms this truth to me, in response to the influence of the Holy Spirit, by inflicting on me...”.

The sorrow, which the Holy Spirit has placed in Paul’s heart, tells him that he can’t just trade himself for the rest of the Jews confirms to him that God still loves Israel. If God didn’t love them because of what they did, then maybe there could be a way that a Jew could do something to earn back his love. The fact that there is nothing Paul can do to earn God’s love for the Jews tells him that there is also nothing the Jews, as a people, could do to lose God’s love.