Hi, I'd like to help you with your problem.
This relationship between your fiancee and her co worker is interfering with your ability to trust. In a relationship, there has to be mutual trust for it to be a healthy relationship. There also needs to be honesty and openness. Your feelings about your financee's relationship are important and need addressed by your finacee.
The issue here is that your fiancee is having a relationship with her co worker outside of work. For one, the fact that she sees the relationship as not worth discussing with you is a problem. Between you both, there should be open communication about friends. You know who she sees, she knows the same about you. Saying so and so called me today or text me today is a common way to keep the lines of communication and trust open and fair. That is not to say that reporting every little conversation is necessary, but the honesty needs to be there.
Two, your fiancee is beginning to hide the contact she has with this co worker. If a friendship is just that, a friendship, it doesn't need to be hidden. She could be doing this because of your response to her talking with the co worker, but it is only going to create mistrust to deal with it this way.
Three, you yourself do not have a friendship or even acquaintance with this co worker. In a trusting relationship, it is normal for each partner to know and even be friendly with the other person's friends. The fact that this is a man who is friendly with your fiancee but shows no interest in you and your relationship with your fiancee is a problem. He is not respecting you or your relationship as part of your financee's life.
Also, your finacee needs to decide what is more important to her, her relationship with you or this co worker. She needs to stop communicating with him outside of work if she wants to maintain a trusting relationship with you.
If you can, see your counselor together with your fiancee. Boundaries and trust issues need to be worked out between you both before you continue with the relationship.
I hope this helped you,