There are potentially multiple options, including a possible contempt action by your fiance against his ex, temporary protective order and/or stalking protective order, among other possible relief. I advise speaking with a family law attorney about the options. Keep in mind that you may have fewer options than your fiance, as there may be a court order the ex may be in violation of and which only your fiance could enforce. Good luck.
As Mr. Rice points out your fiancee will have more options than you in protecting you and he from harassment. Speak with a family law attorney about your options including protective orders, and contempt orders against her.
This answer does not constitute a legal consultation, or definitive answer, nor does it establish a lawyer client relationship. Each case, controversy, or situation is factually different and requires particularized evaluation.