Your fiance may have been able to stop gambling for a short time but he is still an addict who is the son of addicts. The behaviors you are reporting are not uncommon in adult children of addicted parents. The family members are bound together by destructive patterns and the threat of losing one another.
If you and your fiance are serious about making a life together, he needs to do some equally serious therapy to break those patterns. And you need to do some serious therapy about what it means to be connected to an addict, what to expect, and the limits of your influence on his behavior until he does his personal work.
You asked me what to do. I can’t tell you that. But I can tell you what not to do. Do not have children with him until the two of you do the important work around addictions. I worry that becoming parents will only make the current situation much worse. You are likely to become a single mom with a former partner who will be unwilling or unable to do his share in providing financially and emotionally for the child.
I wish you well.