Stay out of it. It's really none of your business and getting involved in other people's often complex relationships, when you are not privy to every facet of them, is a recipe for disaster.
As to the suggestions of an anonymous note to the fiancée, that is the most underhanded thing I can remember seeing on these boards and can't believe it's a serious suggestion, that anyone should stoop so low. If you're going to interfere with other people's affairs, then you should own responsibility for your actions and the consequences - generic 'you'.
I have to disagree strongly. In a situation with no good answers, writing an anonymous e-mail would let the fiance know what was going on without putting the OP at direct risk. Would sitting back letting a woman continue in a relationship
and making vows that you know are bogus be considered taking the high road? Peter and Vanessa are the immoral ones. If she knows something is going on, sitting back, and waiting for the fireworks to blow or watching a poor, unsuspecting woman ruin her life seems almost worst than trying to warn her by sending her an anonymous e-mail. This is one of those situations where even if the OP stepped up to tell her in person, it the fiancee may blame her for fabricating stories, it may isolate her from her group of friends, and Peter and Vanessa may claim innocence and the wedding may go on as planned.
I don't think there is any good answer, but I don't the OP would be 'wrong' no matter what she tried to do. The only thing I would add would be that the OP should be 100% sure before doing anything. Peter and Vanessa are the immoral ones not the OP and I don't feel the OP would be 'stooping low' no matter how she decided to handle the situation. It seems unfair to judge other posters for making the anonymous note suggestion when they simply would want to let the fiancee know so she could make the right decision without being in the middle of it. I also like the suggestion of talking to Vanessa about it. If the OP does keep quiet, I think she should bow out of the wedding and avoid those friends as much as possible. I also think if you are religious, it may help to talk to a pastor or Rabbi about the situation.
It's hard to say how the fiancee would feel. It's easy for people to say they would never forgive somebody if they knew such information and were never told. However, the fiancee might blame OP for being a messenger or just for relaying upsetting information. Even if she believe the OP, she may decide to go through with the wedding, just because it is so close, she has a baby, and can't imagine backing out at this point, yet still be upset at OP for rocking the boat. Of course, Peter and Vanessa may convince her it is untrue, she still may doubt, but decide to go through with it anyway. It is especially likely that the fiancee may not believe the OP because she barely knows her and the OP doesn't have concrete proof, just what she overheard.