I'm sorry have to say this, but it's a scam.
If you have not spent a large amount of time in with your fiance in person, then it is definitely a scam. By "in person" I mean not chat, not phone, not video call, but you and him together in the same place at the same time. It may seem unbelievable to you that a person can spend so much time with you online, be so nice to you, declare their love for you, promise to marry you, and yet all along be just trying to cheat you out of money, but unfortunately these things happen all the time. The very fact that you are seriously considering sending a very large sum of money makes these scams worth it for the scammers. They can be playing this game with many people at once, and if any one of them sends a lot of money they will be rich. You also have to ask why they contacted you instead of your fiancé's family, company etc.
You absolutely must not send money. If you send money the only thing that will happen is they ask for more until you stop. The most you should do is contact the US embassy in the country where he is being "held". They will almost certainly tell you the same thing I am. Do you have your fiancée passport number? Date of birth? Place of birth? Names of other family members? Address in the States? If you don't, these are other giveaways that you are the victim of a scam. The embassy will need to know them.
If you do actually know your fiancé in person and have spent lots of time with them in person, then contact the US embassy in the country and report the situation, or talk to US law enforcement.