Something is definitely wrong. That much is clear. What the problem is is less clear, but you can only go by what you do know. Since your fiance seems to be very troubled, it seems prudent to put a hold on the engagement until the two of you work things through and get to a place where you both feel that this is a relationship you want to see through. Right now, based on what you’ve written, your fiance is being very passive aggressive and unclear about what the problem is and that behavior is making you unhappy and unsettled.
Take a break from the engagement, and if things don’t get better, you need to move on. If they do get better, then the break from the pressure of an impending marriage, will be exactly what you needed.