Don't like the feeling when I mastrubate

You didn't mention whether you are male or female (it makes a difference), but since you used the feminine spelling of 'fiancee,' I will assume you are male.

If you don't like the feeling of when you masturbate, it probably means you are masturbating incorrectly. People masturbate in different ways, and some techniques are better than others. Whether or not you are circumcised can also affect this. In rare cases, there could be physiological issues.

So, it is quite possible that sex will feel very different from masturbating. In any case, it usually is more intense and pleasurable.

But, the first time is NOT going to be as pleasurable, since you are just learning, and things will probably be a bit awkward--especially if your fiancee is also a virgin. It takes time to learn good technique, and to figure out what works best with your partner. So, you shouldn't make any snap judgments from your first experience.