Look, there are a lot of guys who do not last long enough to please their partner, and there are guys who don't get off easily from oral sex, and there are guys who don't get off easily from vaginal penetration, and there are guys who just take a while to get there.
Do you find yourself mentally distracted during sex? Is your attention wandering a bit from the act to worrying about work/school/whatever? Perhaps to reassure her you should point out that you're obviously still erect, and that were she unable to interest you sexually this would not be the case.
Pretty much it's a, "It's not you, it's just how I am." issue that will keep coming up in your life. I have difficulty reaching orgasm from oral. I've been with some amazingly skilled women, and you know, even after warning them up front they start to develop complexes about it.
The thing is, when you tell a woman that you have difficulty achieving x during y activity they take it as a personal challenge to prove that they're capable of getting you to do it. If they fail, it's disappointing to them, and they get discouraged.
If it is a mental component have you tried finding ways to block out distractions? IE: blindfolds, restraints, music that you find deliberately erotic (as opposed to romantic...) that give you items to focus on and block out distractions? Since you said fiance I'm assuming you're old enough to be able to go procure such items.
Have her tie you to the bed, blindfold you, put headphones on your ears, and ride you like the pony express. See if that makes a difference...
"Well, then," the Cat went on, "you see a dog growls when it's angry, and wags its tail when it's pleased. Now I growl when I'm pleased, and wag my tail when I'm angry. Therefore I'm mad."