Me being a complete stranger on the internet, and not knowing specifics makes me concerned. You weren’t there at first, and don’t know what their interactions were like, so this leaves my mind wandering.

As a woman, if a guy was bothering me (regardless of being in a relationship) I would put a stop to it, if that didn’t work I would take other measures. Such as a restraining order, or speaking to my landlord about being moved to a different unit. Especially knowing that it makes my fiancé uncomfortable…everyone is different I guess but if she doesn’t want to confront the issue then either you’ll have to, or let it go I guess.