My fiancé says he ejaculates but doesn't feel an orgasm, what could be wrong?

Probably nothing. Male orgasm occurs with ejaculation. Your fiance likely has a sensation of ejaculation & that is his orgasm. Intensity can vary, as can orgasm intesity vary for women. Just like people vary in depth of sensation to sound or taste. Yopu may have very intense orgasms, whereas he doesn't. Thats ok.