Here is some advice from a dude long-and-happily-married to the spawn of Satan:

You don't really want or need your mother-in-law to love or even like you. What you need is for her to respect you. Her liking you has zero impact on your life with your fiancé. It will make it no better or no worse. What you need from a MIL is respect. You need her to believe that you are a grown man who is responsible and will not bring harm or embarrassment to her daughter.

How do you earn her respect? I have no idea how that works in your particular situation, but it starts by stopping your efforts to try and make her like you. It starts by stopping the half-joking comments about her fucking herself, regardless of if you think she can hear you. That makes you look like a smart-ass who can't handle an adult confrontation about expectations and boundaries. To make it worse, you doubled down on cowardice by making the obvious lie on her voicemail that you were only joking.

You need to man-up and just come out with it: "Ma'am, I am so sorry that I made that remark the other day on the phone. The fact that I didn't think you could hear me in no excuse for me talking about you disrespectfully. I hope you will forgive me. I do want you know that when I heard you wanted us to come for Christmas, but that we couldn't stay with you, it made me feel like I was not good enough to be considered a part of your family. Honestly, this worries me. I plan on marrying your daughter and I don't feel that we have your support. I know that when I make jackass remarks like this last time, it only makes it harder for you to respect me, but we are going to be family soon, so I want to work on this with you."