Your fiance has told you why he chose not to tell you about this particular relationship. Telling your partner about past relationships isn't always a good idea. It can lead to jealousy and suspiciousness. If you are jealous you can become begrudgeful towards your partner and you are likely to consider your own needs rather than taking your partners feelings into consideration. This is not good for your relationship and your partner will not feel seen and listened to.
Rather than thinking about what you don't want to happen, think about what you do want to happen. If you feel you're getting stuck in a chain of negative thougths, stop yourself! Think about the fact that your fiance makes you happy. Notice what he is doing that makes you feel good and tell him about it. Making him feel good and happy will increase your chances of keeping him.
Trust people until they prove you wrong and you wont have to feel suspicious all the time.