My mom used to feel that acknowledging my depression or health issues will only make them worse or give them more power. Like if I told her I'm depressed she'd tell me that it's nonsense, and that I'm not depressed. She thought denial would suppress it, but overtime she learned more about depression and changed her ways, maybe your fiancee is going through the same phase.

Also I have learnt that some people use anger to cope with things that they don't understand. It's wrong, maybe she's trying to make you feel guilty for being depressed, in the hopes that it will snap you out of your depression.