I'm from a completely different culture than you are and could be completely wrong about all this. So take what I have to say with a grain of salt.

This just sounds like manipulation on your family's part. I don't think they actually want you gone from their lives if you marry this guy. They just don't want you marrying him or want him to convert if he's going to marry you.

I like your fiance's approach for now. Be nice to them and keep them involved in your lives, but stay very firm on the issue. Nothing is going to change, but you still love them and will give them some time to accept things. I'd even send them wedding invitations, but don't expect them to come. You can let them know that it hurts that their love is so conditional, but it won't change anything about you or him. It only hurts their relationship with you. Don't get too emotional or flustered about it. Be very self-assured but also patient sounding. Kind of like when a responsible person deals with children who are throwing a tantrum.

See what happens after you're married for awhile. If they don't start to lighten up, then you may have to take the Dan Savage approach and disown them until they can accept your husband. At some point your father will probably want to see his grandchildren.