Hi MisterG,
I understand where you're coming from.But I would also ask if you had already agreed,both of you,that you would abstain from sex before marriage or that you just assumed she would based on your religious beliefs? There is a big difference there in my mind.
The horrible feelings stem from the fact that you had these specific expectations that just weren't reality and so finding out about your fiances past has crushed that for you ( assuming she didn't lie to you).And you have to ask yourself,is it just that your fiance has been with another man and isn't "pure" or that you truly did want to have the first sexual experience with your soon to be wife?
In any event,you both should talk about your feelings and expectations for marriage.I am not suggesting you should end the marriage.In fact,you still could have a wonderful relationship depending on just how strict you are about the presumed ideals.
Give yourself some time to process this too ok? Of course you are hurt now but you may be able to open up and discuss what the future holds for you.I understand the pain.In a way,it's a bit like what we go through here in dealing with adultery.We were promised to one another,through our marriage vows,to be there for one another,for better for worse,etc.And having your spouse go out and commit adultery with another person,one of the most,if not the most,intimate acts two people can share,is truly horrific and painful.But the difference is that your fiance had this relationship with another guy long before she met you.
Talk it out ok? Hopefully there are many other great qulaities about your fiance that drew you to her and that can be the focus.