Just say something.
This is not a big deal, don't let it become one. And you are a full roommate, so you do NOT need your fiancé to be the go-between.
Just say, at some point very soon, "Oh, hey--I noticed the other day you didn't close the bathroom door. Now that we're living here, I'd really appreciate it if you would--it squicks me out, even if we are both girls."