This is horribly controlling of them and I really feel for you. They clearly don't see you as an adult, possibly not even as a child, but as an extension of themselves. As their child you must do as they say.
My parents tried this with us - offered to pay for the wedding, said we were being offensive when we declined so we had to accept, made ludicrous demands (costing 3x what they were paying), demanded their way on everything and didn't accept any tit for tat (they won something so should let us win on something else) or compromise and basically made it all about them. We did end up cancelling, losing a lot of money in deposits and marrying in a non-traditional way which wouldn't have been my choice but was at least on my terms. It's nearly a decade now and my relationship with my parents has never recovered. They feel slighted that we showed them up, I will never forget their behaviour over what should have been about us.
At the end of the day I don't regret cancelling. I regret springing the wedding - we invited everyone for lunch and dragged them into church - as it felt underhand. I don't regret the money lost but I do regret not standing up to them openly.
If I had my time again I don't think I would be able to do it differently though as they just wouldn't listen. Lot's of "If you do x I won't come" nonsense that you just can't reason with. Though had we carried on with the planning I don't think mine and DH's relationship would have made it, there was so much pressure and my mental health was really damaged.
Sorry to make this post all about me, but I want you to know that you can do things your way and come out the other side. How does your fiancé feel? I realised that DH really had my back when he stood up to my controlling parents - something that I hadn't realised was possible before. If you're working at this together then you can achieve anything.
But seriously when I was in your shoes I did cancel and it was the best thing for us. Probably also, in retrospect, the best thing for my parents but that's just a side effect and wasn't any part of our intended outcome.
for you, I know how hard this is.