Your best bet would be to qualify your fiancee for immigration bond, and then you could marry him when he is released. It is possible to marry someone in immigration custody, but it is very difficult. People who are married while one spouse is facing deportation must show very clearly that their marriage is real and bona fide. To get ICE permission to marry while in custody you would have to prove to those that hold him that your marriage would undoubtedly be true.
Marriage in prison is possible but it is rather difficult process that varies among detention facilities. The best source of information for your fiance would be a local chaplain or local detention center counselor who is assigned to his block.
Adjustment of status while in removal proceedings is also possible. The burden of proof that this marriage was entered for other than immigration purposes is high and it will depend on the individual circumstances. Please contact an experienced immigration attorney to discuss possible resolutions of your particular case. Immigration law is a federal law and a lawyer licensed in any state can assist you in your case. The responses and information are intended to be general and should not be relied upon for any specific situation. Best of Luck!