I work with a woman who is like this! She is the devil incarnate!
What you can do is make sure that your fiance is ALWAYS around when you are with her, at least for a few months. That way, everything that you say is heard by the she-devil and your fiance...That way she can't "forget" (ahem) what you have asked/told her.
Also, he seriously needs to have a talk with her. Maybe he could ask how she really feels about you or say that he has noticed that she treats you unfairly, etc. Important though, is the fact that he should NOT let her know that you have inquired about this! If she will be finding out that you have a problem with her, the news should come from you, not him. Probing into the situation by your fi is okay though.
Of course, you are the one in the situation, so you are a better judge of what would and would not go over well...Best of luck...I am not too fond of my inlaws although they seem to like me
I just wish they were nicer people.