"I find myself wanting to ask questions about what he and this other girl do but he thinks I am trying to fight with him. That's not it. I am trying to keep my imagination from running wild."
I think you're well within your rights to ask him what goes on when he's away, considering you are his fiancée and are giving him permission to do something that most people (being we live in a highly monogamous society) would never get permission to do. Not to mention he has declined to give you permission to see other people; he of all people should know how you feel.
"I don't set too many boundaries except be home not too late or let me know if he will be late, safe sex, and don't call her by my pet name. So far the only one he can't seem to follow is the time one."
Actually all three of those boundaries are reasonable for you to ask of him, and if he can't come home on time without at least letting you know, that is a problem, and not a very loving thing for him to do to you, as I'm sure he is well aware of how lonely you get while he is away.
I don't mean to disrespect your fiancé, but I'm a little discouraged that he seems to be a little insensitive towards your feelings, especially if his main concern is whether your feelings take away from his fun. This is supposed to be a two-way relationship; he's supposed to care for you (and about your happiness) as much as you do him (and his).
It might be time to have a solemn sit-down with him to talk about these matters, and let him know that you expect to be treated better. If he's not willing to at least respect your boundaries, you may have to consider what's the best way to care for yourself. I hope it doesn't come down to a break-up, but just remember that you're a good person and deserve to be treated like a good person. (Not like some toy he kicks out of the way because it's in his way.)
I don't know if this is much help to you for me to say all this, but I just want to say I hope he'll be nicer to you.