So she says its just a fantasy??
Should you believe her? Wow, only you can answer that question if you believe her.
Are there feelings if insecurities creeping in?

But maybe IMHO you could ask more about other fantasies she has that both of you could explore? Sex can be such a difficult subject to discuss I think, but it depends on your relationship. If it's embarrassing maybe exchange letters or emails about things you're interested in exploring?? Just ideas here.
It takes a great deal of planning to do a MMF where no one gets hurt or hurts your marriage. But I'd never say it was impossible.

Always 2 sides to the coin.
Not sure this is helping at all. Sorry.