I am by no means an expert but, as long as there are no restrictions on travel with a fiance visa, there shouldn't be a problem.
I am a dual UK/US citizen who entered the UK on my US passport for a 2 week Christmas vacation (UK citizens are not required to use a UK passport, and I had let mine expire by mistake). Four days after returning to our assignment location in Asia my mother passed away and I turned around and headed back to the UK. Again I entered on a US passport, was asked why I was returning so soon and explained that there had been a death in the family. Another stamp in my passport and sympathy expressed by the IO.
I know its not the same but if you explain your situation honestly it shouldn't be a problem. If you can have some documentary proof of your reason for travel it might be a reassuring back up for you, just in case you come across an IO who is in a bad mood.
Please accept my sympathy for your situation, its hard moving transatlantically and dealing with bereavement.