I guess my question for you is have you clearly stated your intentions, needs, wants, and limits for your fiance? It sounds like it started as you just kind of expressing to her that a threesome might be fun and then all of a sudden you sprang on her that you want actual relationships with girls (or the thought of setting up a "den" of girls). She hasn't had much say in this and it sounds like something that is really making her uncomfortable.
If nothing else, give each other some time to cool down, stop pressuring her to add other relationships for a while, and put your impending marriage on hold until you can find a resolution for this. I would also suggest some counseling in the meantime.
Another question. It sounds with the "den of girls" idea, that you are maybe forgetting that your fiance or some of these other girls might not just want to be with you. If your fiance agrees to a polyamorous relationship, are you going to be comfortable if she gets involved with other men?