I had this problem in the past with my wife. I found that because i was masturbating 2 times a day I didn't have much left for her.
I think you guys need to do something before the proper marriage. It's better such a thing has come up now. You can go get some herbal remedies or pills to help him. check www.paxherbalsinternational.com , if they can offer any help. meanwhile, keep talking to him for possible solutions.
In the mean time, what are you doing to take care of yourself? What I mean by this is that you must find something to keep your self-confidence up. Whether it is reading a romantic novel or doing some volunteer work. It sounds like you may be heading into depression from this issue. Keep a journal of your daily feelings until you both come to a resolution. PS, you may want to start keeping what goes on in the bedroom out of the conversation with your friends. The same person whom you may be discussing the issue with may become part of the issue.
Sounds like it is either physical or mental but whatever the case, you need to work through it before the marriage. It can become a very big issue once you are married.
I highly doubt it's you. It sounds like your fiance might have some other issues that he either doesn't understand or isn't coming forward with.