It sounds to me like he loves his fiancé and always did.
You were probably a "rebound" for him when they broke up and he may have developed some (feelings) for you. However you are not "the one"! When an opportunity arose for him to get back with the woman he considers to be "the one" he proposed to her!
Now imagine you had a best friend or sister telling you your story. What advice would you give her?
You state that you are "now pregnant (for him)". I assume you mean by him. However did you become pregnant on purpose? Did the pregnancy take place before or after he became engaged? Did he know you were pregnant before he proposed to another woman? How old is he? Why do you believe his family prefers her over you? Have you ever met and socialized with his family?
The reality is if he were "in love" with you he would have shouted it from the mountaintops. He would made it known to family and best friends that you are "the one". His family would have been happy to see how happy you make him.
Based upon what little you mention I suspect he did not make a strong effort to incorporate you into his inner circle of friends, family, and co-workers over the course of your year together.
Essentially this guy cheated on you with his ex and when you busted him he told you he did not know how to tell you he had gotten engaged. My guess is many married men have also told mistresses they did not know how to tell they were (married) either.
Lastly if you believe he had a difficult time telling you about the engagement it's unlikely he found it (easier) to tell the woman he is about to marry that he is expecting a baby with another woman!
He's also telling you that he does not love her (but) he plans to marry her! You can bet he's not telling her that he doesn't love her!
Please don't be so gullible. You're being played! You already know this man is a liar and a cheater! If you end up hurt any further it's (your) own fault! Remove your rose tented glasses.
"Actions speak louder than words!"
If this woman really knows about the baby than contact her and introduce yourself. After all your child is going to be a part of their lives "forever". This woman probably does not know you even exist! Cut him loose and move on but also seek child support when the baby arrives.