3 year old's are a PITA when it comes to these things. They are clingy, have "favorites" and get really angry when they don't get their way. I wouldn't even worry about it, just make sure he has a lot of positive interactions with her and let her get older, things will get better.
A few tricks though... do something around the house she has no interest in. When she starts to bug you to pay attention to her tell her you can't right now and to go ask your fiancé. This includes helping her with things such as getting her a drink, opening something etc. Soon she will realize he helps her out when mommy can't.
Secondly have him do things she likes without inviting her. Such as drawing with crayons, when she comes over to "investigate" he can say "will you color with me"? Instead of trying to get her to do something verbally with him. There is a slight chance that she will lose her crap (LOL) but it's something to try.