If you have concerns or beliefs that your underage daughters are being left alone by their father you need to contact Child Protective Services in the county where they reside. This should be done immediately for the safety of the children. (CPS never reveals who placed the call - it if often a neighbor who happens to notice parents gone and children home alone, so you do not have to admit it was you and CPS will never be able to say who placed the call to them.)
CPS will open a case, assign a case work, and start an investigation. They will talk to the father, his fiancee, to you, to neighbors, school teachers, etc. collecting whatever evidence they can.
If they feel that the child is in danger from the father's behaviors they will take the children away immediately. If there is a family member (such as you) who is willing to take temporary custody and has the resources to care for them then CPS will likely place the children in your home temporarily.
However, as you live in another state, if there is a relative who lives closer so that they could continue their schooling, etc., they may be placed in this relative's home temporarily.
If you wish, you can file a motion on the county family court where they live seeking a modification of custody. You only want to do this if you wish to assume physical custody of the children. Otherwise, you can allow CPS to recommend placement for them IF CPS feels this is necessary.
Also, you need to let the judge in family court know the he has not been paying the debt he was ordered to pay. If he continues to fail to pay he risks being held in contempt of court and being incarcerated.
If your ex-husband is threatening you, you may want to apply for a restraining order in court that will prevent him from having any contact with you whatsoever. Visitation arrangements can be communicated through a 3rd, uninvolved party.
The judge will ultimately make this decisions regarding custody and what is in the best interests of the children, but you need to do what you feel is right to protect your children, including getting CPS involved and possibly taking out a restraining order.
Please let me know if you have any questions about this.