At any rate, its awesome that you are asking yourself these questions now. I would definitely hold out on marriage until this is thoroughly cleared up.
Its sad that you think there is no happy ending here, though. I admit that transitioning into very different ways of life, be it polyamory or whatever, is always uncomfortable and, no joke, there may be a lot of casualties on the way.Maybe think of it this way: if you push for what you really want with your current fiance, whatever it is that you want, you will likely get a couple of responses - the most obvious one seems like she will not be keen on it, and if you insist this is something you need to do, then you have essentially hit an impasse and will need to compromise or else go your separate ways. It'll hurt for a long time but you open yourself up to figuring out some of these questions. Maybe, you realise that you can and do want to share love with more than one, finally find people who are in accord with that and can be on your way to expressing yourself and the way you love more honestly and without feeling guilty and fatalistic about it.
On the other hand, if you marry her and cut off contact with this other woman, you are beginning your union with her with this seed of having lost something, having sacrificed a part of you to be with her, and I dont see how that could build anything but resentment over time. You may secure her presence in your life by agreeing to let go of this other woman, but you are crystallizing a state of affairs that you seem very conflicted with right now...
Can I ask - is the second woman open to polyamory in general and just not into your fiance or are they both set on the idea of being your only significant other?