ESH.
You and your partner both have a responsibility to each other to communicate your needs and concerns. But yes, that relationship dynamic between your fiance and the widow is very odd and potentially inappropriate.
Losing a spouse months before a pregnancy has to be awful. But it's also quite the assumption to say someone has enough support elsewhere when you yourself say you cannot keep a conversation going with this person. Don't get me wrong, it's highly unusual. You just can't know until you guys start talking.
If you can't have a heart to heart with your partner it may be time for couples counseling. This is not a good way to start a marriage.