Praise God for the decision you made not to have sex with her. Explain to her why, biblically, why you cannot have relations with her and share with her, God has called you to walk in His ways. She may not want to stay with you, and biblically, you are not to be with her. Be not unequally yoked with an unbeliever.
My friend gave her testimony and said she lived with this guy for some years, got saved. A neighbor found out that she had become a Christian and told her. ###, you are living in sin. As a believer, you are not supposed to have sex outside of marriage and you are not supposed to be with someone who is an unbeliever because scripture says, be not unequally yoked to an unbeliever. So she broke off her relationship with ### and he was devastated, she told him why. I can't be with you, I can't have a relationship with you. I'm a Christian and what we were doing is sin. A few months later, he came back to her and asked her to be with him again. She said no, I can't you are not a Christian. A few months more, he came back and said, he had given his life to Christ and he wanted to marry her. So she told him she would marry him, but they were not to have any physical intimate relationships without marriage first. So they kept themselves pure before the Lord, got married and God is moving in their lives in a mighty way. Praise the Lord!
Praise God for your stand!
Father, I thank you for saving ### and bringing him into the knowledge of what is pleasing in Your sight. Thank you for his obedience to your word to not to fornicate, but to keep himself pure. I pray for his fiance, for her salvation and I ask that you would give him a clear word concerning their relationship. Should he stay with her or break it off, for your word says to not be unequally yoked to an unbeliever. In whatever decision he makes, I pray for your perfect peace to be his guide. In Jesus name. Amen.