All perfect praise be to Allaah, The Lord of the Worlds. I testify that there is none worthy of worship except Allaah, and that Muhammad is His slave and Messenger.
First of all, please accept our condolences on the death of your sister and we ask Allaah to forgive her and bless her son.
As regards the husband of your sister coming to your home, then this is permissible if this does not lead to evil, like him entering the house in an impermissible manner or staying in seclusion with whom he is not permitted to stay in seclusion with. Moreover, your fiancé has no right to get angry because of this or blame anyone of you about it, let alone speaking to your parents in a harsh manner or blaming them about it.
As regards you riding in a car alone with the husband of your sister, then this is not permissible because he is a non-Mahram to you and being in seclusion with him in a car is considered a forbidden seclusion, or in the meaning of a forbidden seclusion.
However, if your parents agreed with you about this while knowing that it is forbidden, then they are to be blamed as well. Therefore, all of you should repent to Allaah. For more benefit, please refer to Fataawa 88013 and 83362. It should be mentioned here that the husband of the sister is not a Mahram even if the sister was still alive and they were still married, because being a Mahram to someone is confirmed with the permanent prohibition from marrying him/her and not the temporary prohibition, like the prohibition of having two sisters as wives at the same time; for more benefit, please refer to Fatwa 84623.
As regards the fiancé criticizing you for that matter, then this is permissible because this is included in enjoining good and forbidding evil, and for this, it is not necessary that there should be a legitimate relationship between both of you. However, since what happened already took place, then your husband should not create some kind of tension because of what had already happened, but he should forget the past and continue the marital life, as Islam guides us to follow an important rule as Allaah Says (what means): {… either keep [her] in an acceptable manner or release [her] with good treatment.}[Quran 2:228]
Allaah Knows best.