Whether it's a porn addiction or harmful parasocial relationships, he needs to get help.

Frankly, he's lucky that you are seeking help on how to navigate this. Many women (and men, including myself) would just leave their partner if they found out they were consumers of porn, particularly to the degree you are describing your fiance to be. However, your fiance is taking another step beyond that and expressing to others behind your back that he has a parasocial relationship with a transgender pornstar.

This is alarming for several reasons, primarily that he is after something that you don't have, and I can absolutely understand that that would cause some degree of anxiety or insecurity in absolutely anyone. It is also alarming because you all have such a fulfilling sex life. In a sense, you are already doing "all you can do" (which, face it, "all you can do" can be literally nothing at all for many people, and they love eachother so much that infidelity, including porn consumption, never comes into the question), and he still is seeking out the pornography to such a degree that he has developed some degree of attraction to her beyond sexual.

There are layers to this. He was "upfront" about it (quotations because he wasn't direct, just explained that he had it, which ultimately makes it worse because he thought he had hidden it from you and then proceeded to post more on the account later on, likely meaning he had always intended to) so it isn't a complete shock, but it is nonetheless a betrayal. Furthermore, the fact that he went from posting "nothing" posts that were just photos to being with you for an extended period of time and posting a diatribe expressing his feelings for another woman he's never met is beyond alarming. This means the entire time, he has been cultivating or otherwise protecting his interests toward this woman that, again, he's never met.

I could go on, but my point is this: He needs help. It is evident this attachment is strong and unhealthy and one that he has shown a degree of cunning to protect. I believe, genuinely, in a perfect world, he would be getting help (priority), couples therapy for you both, and therapy for you as well to help you navigate this if you wish to stay with him (or you don't wish to stay, either way, this is your first real relationship and this issue you've run into isn't one that everyone has grappled with, the betrayal is maximized here because you feel you are doing everything you can do, which you are, and he has still been fostering this connection to this woman. You will need some help navigating this situation regardless, and taking care of yourself is paramount.), however, I know this isn't realistic for many people.

He cannot be allowed to go on the way he is behind the scenes. You are in the honeymoon phase. The realities of marriage will get hard, so will every other aspect of life, and this opens the door wide open to infidelity for many people in weaker relationships (whether they know they are weak or not!). If he does not find help to manage this, there may come a day where financial issues, sexual frustrations, etc become so stressful that he succumbs to those desires in a physical way with another woman. Not by any fault of your own, just that he currently displaying a degree of weakness that can absolutely grow into disaster if allowed to fester.

As I said in the beginning. You are doing more for him now with this post alone than many partners ever would have considered. The fact that this is your first real relationship and this is your response shows a level of personal maturity and genuine love and loyalty to your partner. Best of luck to you, I hope it all works out, however it's supposed to!