It sounds very much to me that he may be transgender, which is a very confusing and difficult situation to be in. I 100% would not take this as a judgement against you, or a sign that you "failed" somehow in keeping your fiance's interest. In fact, if your spouse does end up being trans, this doesn't mean at all that your relationship is over! It sounds like you have two related issues going on here: first that you don't know what's going on with your fiance because of the crossdressing, and secondly that you feel lonely and/or neglected. If possible, my suggestion is to try to separate them: don't blame the crossdressing for you feeling lonely, or he will probably withdraw more from you. Instead, if you genuinely try to support your partner and be open to whoever it is that he (or they, or she), he may feel more comfortable talking to you about what is going on.

Your fiance has not changed as a person. You mentioned him considering "sex change" - as a transgender person myself, something I really, really, really want to stress is that even if he chooses to transition further than he has, this will NOT change who he is. This is still the same person he's been all along - it's not like he'll be replaced by a total stranger, more that he will feel more comfortable revealing to you and embracing parts of himself that he has been hiding or suppressing.

It's completely reasonable to feel neglected if he's not spending much time with you, but it sounds like he's interested in cuddling, which shows that he still loves you and has affection for you. Transgender people frequently have a lot of discomfort with their genitals, even to the point of not being able to have sex, so if that is what is happening to your partner, please know that this isn't because you aren't desirable - it's instead a personal matter between him and his body.

Exploring your gender is a very, very difficult and frightening thing. My guess is that your fiance feels as confused and lonely as you do, and may be unsure how to explain what's going on or worried you will judge him for it. If you continue to reach out to him, try not to make assumptions, and be open to whatever changes or things he wants to reveal to you, this may help both of you to feel happier.

Please don't judge or be hard on yourself! This may be difficult, but remember this is the partner you got engaged to and who (I'm guessing) you love. Remind yourself what it is you love about him, try not to take what's going on personally, and trust that he is doing what is best and will make him happy, even if it's something you don't understand.

I hope things turn out well for you two.