Do you know his fiance well enough to know if she would believe you? Because if she's a casual acquaintance, the chances that she will believe you when you tell her her fiance and father of her child is cheating on her, without really concrete proof, is pretty small.
An anonymous note is worse than useless. Think about it - if you got an anonymous note on email or snail mail telling you that your spouse was having an affair, would you believe it, and head for a counsellor/divorce lawyer? Or would you assume that this is some sort of nasty joke being played by an enemy, or someone who has designs on you or your spouse. If you're going to tell someone that their spouse is having an affair, you have to put your name behind it and accept the consequences, however nasty they may well turn out to be.
For the wedding issue, in some ways, it would be better for her to find out *after* the wedding. Even if she kicks him out, they still have a child together. If they divorce (rather than just breaking up) it might increase her chances of collecting child support, as she enters life as a single mother. Even if she divorces him, she's still stuck with a relationship with him for at least the next 20 years, probably the rest of her life.
The problem is that this is a situation that has no good ending. Regardless of whether or not you tell the fiance, or the husband, if what you suspect is true, they are still involved with someone who is cheating on them. Whether or not you tell them is a fairly minor part of the larger problem.