What actually stands in her favour is that she has been honest with you so far; on your first date she has said that shes engaged but not happy and that she isnt physically 'with' her fiance.
Of course this could be complete bollocks and it could be her way of keeping you onside while she decides what is best for her but in either breath if you feel that connection with her then you should at least give it chance to work; You are right to be sceptical and you need to ask yourself whether or not you can accept that she may still sleep in the same bed as her fiance. You also need to consider the possibility that she is also not engaged but married as my understanding of the mormon faith is that they also do not allow sex before marriage let alone living in sin. (I could be wrong here but perhaps a poster of LDS background could give some input).
I would suggest as someone else already has...that you should sit on your hands for a while and let her make the decisions she needs to. Be there for her...but strictly as friends until she has made the move; give her a reason to make the move and give her the incentive but dont let her taste the goods beforehand.
You also need to face the possibility that her decision might not be the right one for you...and if you get too emotionally involved at this stage, this will hurt like hell. Take it from somebody who knows and who has been exactly where you have been and had the exact same words said to them too!
DB74