I think I would keep my distance from this guy.
The way that his fiancée treats you is not cool, without a doubt. But also? There is really nothing more you can do about it. You have tried, and she isn't receptive. It's causing a deep rift in your friendship, but keep in mind it is him that chooses to continue a relationship with someone who is evidently quite crappy to you.
That would be enough for me to re-consider this friendship, and realize our values as friends don't really align anymore.