Me, I'm hanging my head right now. I am afraid for his family to know. They're important to me and their disapproval would bother me a whole lot. I like them more than most of my family.
I'm afraid of the unknown of telling them weeks before our wedding. I just have a hard time believing everything will be okay. It feels more like stepping off a cliff.
Some advice -- don't let them see you hanging your head. Other people will take their cues from you. If you break the news to them as if you're saying something you're ashamed of... as if you're saying "I cheated on my fiance"... that's how they'll hear it. They might even assume that's what happened, or that he cheated on you and you're just trying to grin and bear it.
Most people are unfamiliar with this sort of situation and they'll need some guidance to figure out whether this is a great thing or an awful one. I can't tell you not to FEEL bad, but you'll make it so, so much worse if you show it. I'm all about honesty in relationships, but in this sort of scenario? Fake it til you make it, all the way!
You don't need to be out and proud on top of the biggest float in the parade or anything, just act in a way that is open, firm, unashamed, unafraid, and let your love for your fiance AND your gf shine through. It's the ONLY way people will respect you. Some might even give you a hard time now but reflect on your positive demeanor later and think "maybe it really is ok." Whereas if they see you hanging your head they'll dismiss whatever words you say and fill in the space with "she's miserable because she's doing something that's sooo messed up."
Of course this is all complicated by the fact that the three of you might not stay together. But that's ok, believe it or not. Don't let yourself worry about what other people think when it comes to this interpersonal question, or you'll regret it deeply. Keep trying to make it work if you think it's worth it, let her go and just be friends if it's not. It's so, so tempting to factor in what other people will think but I promise you... I've done that before and I regret it more than anything else in my life, still. You can't let it matter when it comes to this and, in the end, it probably won't change people's opinions much one way or the other.