Throwing in the towel will just make them dislike you more, for giving up. In a way, it will justify for them all the reasons you shouldn't have been together in the first place (trust me, been there, done that).
If you and your fiance really love each other and the cultural differences are not an issue in your relationship with each other, you should be fine. Families come around. You might find they come around even more after you marry.
Again, what are your backgrounds?
Live as if you were to die tomorrow. Learn as if you were to live forever. - Mohandas Gandhi