I am sorry to hear about your situation right now. I am not sure if this will be of any help to you and I hope that it will be OK, but I thought I would provide some perspective from the point of view of a wife supporting a a husband with depression.
But firstly, I think the most important thing is that if you believe you are depressed, to seek medical advice. Perhaps as Geoff suggested, you can make an appointment with your GP, and ask your fiance to go with you as support?
At the beginning, when my husband first fell into depression, I did what I thought was trying to support him. I was here. I told him he should talk to someone. I asked what I could do. I told him I loved him. I asked him to talk to me. For someone who has not suffered depression, I thought this might be enough. But it wasn't. And it wasn't for lack of caring. I simply didn't know what he expected or wanted. And anything I did was thrown back at me as me not caring.
From his point of view, I don't think he knew exactly what he expected or wanted either. And he wasn't able to communicate that to me. But he also felt that having to ask me, or having to tell me what he needed or wanted, meant that whatever support I provided wasn't genuine because he had to ask for it. You mentioned that she has said to you, that she doesn't know what you want her to do. Have you tried telling your fiance exactly what you might need from her?
My husband eventually went to see his GP. He is on medication and seeing a psychologist. I myself was referred to a psychologist as the whole situation has caused my some anxiety. Together, we have been seeing a relationship counsellor for over a year now. And there are a lot of things that we have improved on, but the most important thing is, communication, and finding that connection again.
I guess my point is, maybe she does genuinely care, but really doesn't know how to support you. Maybe you have, but if you haven't, tell her exactly what you expect and need from her. It's then up to her to decide whether that's something she's willing to do.
If you feel up to it, please keep us updated with your situation and reach out if you ever need someone to listen.