While I do think that you need to learn to say "no", I also think that your fiance needs to sit his parents down and have a talk with them about financial responsibility. Since I assume they are not ill, and can fully support themselves, there is no reason why you should have to continuously lend them money. A parent should not expect that from their child. By continuing to help them out financially, you are not helping them.
I agree with this advice. You don't need to lie to them and tell them you have no money. Next time they ask for help, offer to help them establish a budget, learn about frugality, and become wiser money managers. If they refuse to take necessary steps to better their financial situation, then that is their choice. They will soon realize you are not a 0% interest bank and will probably go elsewhere for charity. You will also learn that they don't want "help", they just want bailed out of their stupidity. If you feel guilty about not
"lending" them money, then they are successfully manipulating you.