This is very confusing so if your reading this you may need to read this a couple times . . . .
My fiancee's ex wife remarried a couple of years ago (2nd marriage). She still is using my fiancee's last name for everything (medical bills, work, driver's license and anything). She has been living with another man for over a year and is now pregnant. I know legally she will have to use her husbands last name for the birth certificate but do they really check these things? and if so, how? especially since she has never changed her last name on ANYTHING from her married name she received from my fiancee.
My fear is she is using my fiancee's last name on her medical insurance now and that she will try to put his name on the birth certificate. I am not certain she will try to claim him as the father but none the less the baby could possibly have my fiancee's last name instead of her husbands or whoever else she wants to list as the father.
Is there anything we can do to prevent her from using my soon to be new last name and insure she uses her now married name? (there is a court order that shows with the divorce she was not suppose to use her divorced name after the divorce)

Maybe get the divorce reopened and ask her to take her maiden name, but usually these things are dealt with at the time of divorce. In some cases, women keep their married names and when they remarry they do not take their husband's name. (eg. Demi Moore) So this may not be what you like, but it is not really anything wrong with it either. Your fiance is the person who should address this, not you.