N.
I'm sorry you're having to deal with this. Unfortunately, I can't imagine any reason why it would be ok for your fiancee to be flirting with someone else or saying to anyone the kinds of things you mentioned if you two are to be married. Maybe it was an invasion of his privacy for you to look at his messages, but now you have an inside look into his thinking that he surely would not have shared with you otherwise. I would consider that a gift of knowledge and make a break before I were to commit to a marriage with someone who obviously has feelings for someone else. A fantasy of the mind is one thing. Conversing by phone and on the internet is "physical" and it's not about just "fantasy" anymore. He's not being faithful to you, even if he's not actually "cheated" on you through the flesh. I would never marry someone I wasn't absolutely sure was 100% committed to me and only me. You deserve nothing less than that.
Blessings,
N.