I think the OP tripped up slightly on the dress code, but that Fiance was also rude:
- Shoved OP and her sister in a different room to most of the guests
- Hadn't told OP about the Bible verses - that's not something most people consider standard for a bridal shower, so they should have been made aware to bring Bibles
- Reacted like a child over a nightie and robe - that doesn't sound "saucy" or inappropriate to me in the slightest, but Fiance decided to be rude and shove it under the table like it was a copy of the Kama Sutra.
When a bride is given a nightie, it has a lot of scrabble connotations (would you give a woman a nightie in any other situation?). From her in law family and in a religious setting? Yeah, very cringe worthy. I cannot imagine her holding up the nightie to show the church ladies. Honestly, this is the kind of gift that should only be given to very close friends, not to someone who is marrying into your family.
As for the dress code, I think it is on both of them. It would have been nice for the hostess to drop a hint but the guest also had plenty of information on hand to realize that it would probably be good to check, specially the fact that the bride obviously came from a more formal background and was not comfortable in very informal settings. Formal baby showers show up enough in general culture (movies, books, TV series) for most people to realize that it is a possibility.