What should I do about this situation with my fiance?

Well, at least you're honest, even if you do sound like a middle schooler. Sweetie, you have to work on fitting into his family, just like they have to work on fitting you in. If you stop going to their family events, you are giving up and letting them win. Go, smile and try to make nice. They are his family, and he loves them. And you love him. See how that works?