Welcome to the board, and congrats on your pregnancy! I'm sorry you're struggling with an argument at a time when you both should be rejoicing in the miracle you made together.
I live in North Dakota - another state with a high circumcision rate (as far as I know). My twin sons are 15 years old, in high school gym, and formerly on the track team. They have no idea of their best friends or anyone else in their class is circumcised or not, because they don't look. They have never had anyone comment on the state of their penises, because they don't show them off (even to each other - they are very modest). So in our household at least, "locker room teasing" is a complete non-issue.
Our boys HAVE been teased, however, for being tall, for having acne, for being clumsy (while they were groweing like weeds), and for being identical twins. We never considered surgery to "fix" any of those issues; instead, we taught them from an early age to be proud of who they are, and how to deal with bullies and teasing. Kids are much more likely to be teased about something that others can see - big ears, glasses, freckles, you name it - and a child who learns how to deal with other types of teasing could certainly deal with penis teasing - IF it ever happened. In the case of my kids, IF anyone ever made a comment, they would simply say "Why are you looking at my equipment?"
At the same time, they have been VERY glad that they still have their foreskin, since the day they learned about circumcision, when they were 8 years old. They were appalled and disappointed when my brother and his wife had their baby circumcised, and recently one of my sons told me he would never marry anyone that would consider cricumcising a baby. Because my kids grew up thinking that a foreskin is a normal, natural body part - just like their fingers, lips, and toenails - they don't feel that having a foreskin is weird, any more than the rest of us think it's weird to have lips.
I do hope you can convince your fiance. The point is that it is not about HIM, but about the baby, and unless he can come up with a valid MEDICAL reason to perform siurgery on a normal, healthy newborn, he is going to have to resign himself to the idea of having a son with a foreskin. It's irrational to start cutting off healthy body parts "just because", or to appease some mythical bully of the future.
Good luck!
Ann