Who should I believe?

My fiancee and I are to be married in 2 weeks, but I don't know if that will happen. In June family members and friends threw me a bridal shower back home. He didn't attend with me and went back to his home state to visit. A week after the trips he left his cell phone at home, and he received a text. It said it was from "Jay". I read it and it said "hey baby, haven't talked to you in awhile. I miss you are we breaking up?" I called the number and it was a female that he met and had spent time with while visiting home. She claimed that they didn't do anything just went clubbin and that is it. I confronted him and he reassured me the same thing. That he wasn't using a guy's name for cover that she was female, her name is Jaya and they call her Jay.

Well she called me today and said that she is sorry for contacting me and that she has been struggling with this, but she lied to me so that she wouldn't break up a happy home, but she is 3 1/2 months pregnant and that my fiancee is the father! I'm crushed I don't know what to do..Do I still marry him or call it off until we know for sure it's his? Do I leave him all together because he's a cheater and a liar?!