Regardless of whose fault it is, get out of this situation ASAP. The other woman clearly has no respect for you and your finacee's relationship. Bad news.
Think about it. Would a mature, decent person do something that you have repeatedly told her makes you uncomfortable? Would an honest person continue to call and email your fiancee without your blessing? Would she try to get your fiancee to take sides against you? This woman HAS to know that her behavior is causing trouble but she seems to only care about what's convenient and desirable to herself, your relationship be damned.
The other possibility you need to think about is that maybe your fiancee is encouraging this behavior and is seeking the attention? Why else would it be allowed to continue? You need to figure out if this is the case, because his priority should be with YOU and no one else. If you are not his priority and he isn't looking out for you and the relationship, there is something very wrong. You should not be blamed for "ruining everyone's fun." Your fiancee should be on your side, but it sounds like he was playing on their team... and was a part of whatever it was they were cooking up.
It's obvious the other couple is not ready for the lifestyle and this type of drama will most certainly follow them wherever they play. It also doesn't appear that you and your fiancee are anywhere near ready to swing, either. Maybe you want to physically, but your relationship and bond need some work.
Get this other couple out of your life permanently and then spend some quality time focusing on your own relationship and figuring out if your fiancee is committed to it. Give things time to heal, out of the lifestyle. He is contributing to your insecurity by not keeping a reign on things. Don't reward his behavior with a free ticket to swinging. You obviously need a more secure partnership before you'll feel comfortable in the lifestyle.
Good luck
