If you do not tell your finance especially if you are in a small town there is a good chance she will find out anyway. And if the ex is pregnant that is pretty hard to hide so you are going to have to tell her. Still talking to ex's is always a reciepe for disaster. If you truly loved you finance you wouldn't of done it and you wouldn't of gone to your ex's. You are too young, if I were you I would spend some time being single and building a career, saving for a down payment on a house etc.

~Juice