Hello amiss84: I'm sorry you are feeling so anxious & depressed.

Realistically, I don't know as I know enough about your situation to really offer much in the way of a useful comment.

But I'll try to offer a few thoughts nnoe-the-less. It certainly does sound to me as though you & your fiancé have some things to work out. Being in two different countries makes that a real challenge.
Under the circumstances, I wonder if the best way to proceed here might simply be to "lay your cards on the table & let the chips fall where they may", as the saying goes. Tell your fiancé exactly how you're feeling & what your fears are. This may be reckless. There's no way to know how this will work out. However, given your situation, it may be better to find out now, if there's a problem, than to simply allow things to continue to drag on potentially pulling you down with them. If the two of you were living close by, some couples counseling might be the better way to go. However, since you're in two different countries, that is obviously not possible.
One alternative, perhaps, might be to express some of your concerns to your fiancé now in as non-threatening a manner as possible & to ask if he would be willing to participate in some couples counseling once he arrives in Chicago. If he is willing, you could start the process of making arrangements now. His response to this proposal may tell you something with regard to where your relationship is headed. And, likewise, you may want to consider seeking some individual therapy services for yourself (assuming you don't already have them) in order to deal with the anxiety & depression this situation is causing you.
I see this is your first post here on PC. So... welcome to PsychCentral… from the Skeezyks!

I hope you find the time you spend here to be of benefit.
PsychCentral is a great place to get information as well as support for mental health issues. There are many knowledgeable & caring members here. The more you post, & reply to other members’ posts, the more a part of the community you will become. Plus there are social groups you can join & chat rooms where you’ll be able to connect with other PC members in real time (once your first 5 posts have been reviewed & approved.) Lots of great stuff! So please keep posting!