Must I obey my fiancé by giving up the niqab and wearing only loose clothes and a headscarf?

Your fiancé is a stranger to you, so you are not obligated to obey him or seek his permission. You must be careful not to be alone with him unless there is a need. And the hijab is an obligation upon women; it is not permissible to abandon it to please anyone, because "there is no obedience to a creature in disobedience to the Creator."