I'm sorry that you have been placed in the situation you find yourself in.
While you respect his right to practice his religion, JWs do not respect others to do likewise if it is not the JW religion they wish to practice.
Most times, anyone who asks here about a romantic relationship with a non-practising JW, is usually told to run and not turn back. Because you are already pregnant, from what I've seen, you have not yet been told likewise.
The reason most here are critical of a relationship is due to mental conditioning in anyone associated with the JW religion for any length of time. Unless a non-practising JW recognizes for himself the JW religion is not 'The Truth' and therefore chooses to leave for that reason, that person will typically continue to believe the religion is God's only chosen religion and will often return to it even if they haven't been active for several decades. Many times, there is a life-changing event (marriage, the birth of a child or death of family member) that prompts the person to 'return to Jehovah'.
Your fiance's choice to return to that religion will impact and place a burden on you and any future children even as you do not wish to join. Since JWs believe God considers it wrong to celebrate Birthdays, Christmas and almost all other celebrations, he will most likely not participate in those events and may also oppose you and your children from practising them. As holidays are often occasions for family gatherings, those events will probably result in additional emotions, stress and tension in your home.
As JWs do not believe blood transfusions are acceptable, if you should require blood and cannot speak for yourself, as your spouse, he will likely speak on your behalf and oppose a transfusion for you. If your child should need blood, even if you are in favour, he will likely oppose even if it means your child will probably die as a result.
JWs males are considered within the religion to be head-of-the-family, with veto power over anything you decide. As such, it will be expected that you and your children are to be in subjection to his headship. Even if you refuse to join the religion, he will be expected to train his children to become JWs regardless of your opposition.
Children within a divided family who learn JW beliefs, often experience unusual stress since they are told that Mommy will die at Armageddon because she refuses to become a JW.
It has been stated during JW meetings that kissing an unbelieving mate is equivalent to kissing a corpse.
As you remain unmarried, it is not acceptable within the religion that you are living together. Although he is not baptised and hasn't associated for some time, because he was raised 'in the truth', he is deemed to know right from wrong unlike a full-blown 'worldly' person and so will likely be required to move-out until actually married.
There are punishment methods JWs can and will often utilize when dealing with an unbaptised 'associate' that is considered to be unacceptable or a bad example to the congregation.