Hello Ruth,
It's the "scriptural" divorce which has caused this (accepting that the real cause is JW pressure and his parents choice to follow it).
Your fiancé's informing his ex-wife that she is scripturally free is what has led to this.
The ex-wife "needs" to be scripturally free if she is ever going to re-marry in JWland. Like a whitewashed grave she "needs" to appear whiter than white because JW's "need" to appear - like the Pharisees of old - pure and clean.
So the lackey elders at her hall will have consulted their branch office or the latest circuit overseer and been advised that the "reputation of the congregation" needs protecting as your fiancé has in effect admitted to having a sexual relationship outside of marriage and the ex-wife needs to have it shown to all and sundry she is free to marry.
His parents are so brainfrozen, desperate, needy, entrenched, unable to be wrong or whatever after decades of following false hopes and thinking they would be of a select few in paradise petting lions with their deceased loved ones that they are probably incapable at their age (assuming 80 plus) to act differently.
The best hope you have is acting as the "go between" (but likely not in the presence of your fiancé) as if you are not a baptised witness then they - even by the rules of JW land - should not be shunning you.
You might also, with no guarantees of success, stay a while and ask about "loopholes" in the shunning/disfellowshipping/disassociation process/game. There are posters here who can find WT literature quotes that might support some contact in the case of "necessary family business" which individual JW's can use to ease their conscience when trying to do the "right thing."
A good start is on the JW dot org website under "FAQ's" where the question "Do Jehovah's Witnesses Shun Former Members of Their Religion?" is shown. This is the "public face" of the religion and they paint it in a less severe light.
They type so much drivel you can find contradictory statements which may, just may, get through to one or both of your fiancé's parents.
Best of luck.
BTW are you in the UK?