This is not uncommon. I highly recommend the book Never Give Up: My Life and God’s Mercy by John Janaro. He also suffers from OCD and mentions in his book how he sometimes has obsessive thoughts about being previously married without realizing it, or that his marriage is in some other way null. The book is meant to help you make sense of physical and emotional suffering such as the anxiety you describe. Get the book if you can.
I’m not sure what to tell you about your other problem. I have had a priest tell me not to share sins that would cause a burden to someone else. This might fall into that category (though I don’t mean to suggest that your thoughts are sinful; I recognize that they are beyond your control). I suggest instead that you share with your fiance that you will probably struggle with this problem throughout your life, and maybe the two of you can work out ways to communicate when it’s getting particularly bad. In the throes of a nervous breakdown it’s hard to say, “hey, I need help!”, but your fiance may learn to recognize a cycle of anxiety and you can look for signs that an anxiety attack may be coming. Furthermore, I suggest that whenever the thought comes to mind that you may not be a virgin, that you look instantly at a crucifix and say Jesus, I Trust In You. Then start praying…Hail Mary, Glory Be, Our Father, the Memorare, Hail Holy Queen…whatever prayers you can think of until it goes away. There are times when I feel like I am truly too weak to pray so I just pray “Jesus, help me,” again and again until the thought leaves my mind or at least quiets down a little bit.
Sin begins with thought, so it’s important to persevere in keeping our thoughts captive. For someone with severe scruples, OCD, or anxiety, that is much easier said than done. I am speaking as someone who has also taken medication for anxiety…I do understand how little control one can have over those anxious and obsessive thoughts. And, though I realize that those thoughts in themselves are not sinful (as long as I do not choose to dwell on them), I do bring them up in confession regularly. I’ll say “I am having a particularly hard time pushing away intrusive thoughts” and go into detail sometimes, but confessing it and getting advice from good priests helps me continue to fight the good fight.