I agree with Vicky, it is definitely a US tradition and not common in the UK. The idea is to "shower" the bride with gifts to help her build a home. It's not usually expenisve china and stuff, but more everyday things, spatulas, towels, mixing bowls etc.
I would just explain to your Fiance that it wouldn't be something that British people do. It's not supposed to be hosted by the bride/groom anyway - so you would have to rely on one of your friends hosting it for you. If it's not something they are familiar with, it may seem rude to them.
It may be that his mother/sisters/friends are telling him that every girl must have one, so if his parents or friends wanted to host one for you in the US with their friends and family maybe you could go to that.
Good luck!