It sounds like they're well-meaning people. I would keep my tone warm when turning them down--kind of an, "awww, that's so sweet!" tone. "Ohhhh, thank you for the offer, but showers really aren't my/our thing. That's so nice of you guys to offer, though." Or, in place of the last sentence, you could say, "I'd love to have dinner with you guys sometime after this wedding craziness is over!" or some other alternate plan, if that is what you'd prefer. It's perfectly okay to just say "no" with no alternative, though--using more words and a warm tone, and thanking them for their kind impulse, should help smooth things over.
I wouldn't get into JADE, though--justify/argue/defend/excuse. "We have everything we need" is a common reason potential guests of honor give to decline an event, but I am not sure any potential hosts, in the entire history of the world, actually think that's a good excuse.
I would just keep saying, "it's not my thing" and thank them for the idea.
It's true one shouldn't invite people to a shower who aren't invited to the wedding, but there are lots of exceptions to this. A shower thrown by co-workers or your book club or something, for example. In some religions the actual wedding must be kept very small but the reception is much larger, so I would expect it's okay to invite people to a shower if they're also invited to the reception. I think the general idea is that the shower guests shouldn't be under the impression
they're invited to the wedding, so as long as this is well-known--and that's not entirely the responsibility of the GOH, the person hosting the shower also plays a big part--I don't think that's really an issue.
I think it also depends on how you're hearing about this. If people are muttering to your fiance about it, just tell him you don't want a shower (I assume he agrees with you on this--when my parents got married, it was my dad who was really into all the festivities, not my mom) and let him pass it along, which he will hopefully do in a polite and friend-appropriate way. If they're mentioning it to you directly, you can do the "no but thanks so much" thing yourself.