I really don't think you have anything to worry about if he is just going to a strip club. I used to go sometimes with my guy friends b/c it was open later than any of the local bars. The women dancing in these places are usually not very good looking, and keep in mind most of it is from a distance. That being said, there are tables around the outside and usually chairs right up along the edge of the stage. The men who sit right along the stage tend to spend a lot more money, and get a lot of personal action directly in front of them...
I think you should discuss what lines you are comfortable and not comfortable with your fiance crossing. Having been there and seen what goes on, I would NOT be comfortable with my fiance sitting right up front with a view of everything, and yes, i mean everything, less than 2 inches away from his nose... However, I would have no problem with him sitting around a table with his buddies drinking some beer and watching the "show".
The best thing you can do is be open with your fiance. If you really don't trust him, then you need to re-evaluate the situation and figure out why you dont trust him. You might be surprised by his response. Most guys I know don't really find strip clubs that appealing but they go b/c its the "guy thing to do". Also, I think your fiance may be upset if you pretend it doesnt bother you and he thinks you don't care what hes up to...
Just my opinions... take them for what you will.