You should definitely talk about what you saw, but not to the fiance: to your friend. Tell her you didn’t want to make a scene in front of the whole group but that you were concerned.
Then see what she tells you.
It’s possible she and her husband-to-be have some sort of arrangement (or even just a “bachelorette weekend hall pass”) that you don’t know about. It’s possible she drunkenly asked the guy up for a drink then came to her senses and kicked him out (unless you heard EXTREMELY obvious evidence to the contrary, you don’t know they had sex).
And of course it’s possible that you caught her cheating right before her wedding. But your duty to your friend is to give her a chance to let you know what was going on before you explode her relationship.
Hear her out. If what she has to say convinces you this was symptomatic of a larger issue, you might decide to tell her that you don’t feel right keeping this from her fiance, since he’s also a friend.
But then again, you might decide to keep your mouth shut. Personally, I’m very black-and-white on cheating: it’s a deal-breaker in my mind, and I think it’s despicable for someone not to own up when they’ve crossed that line.
But that’s for me, in MY relationships. It’s not my place to decide what’s right for your friend in HER relationship (though I might offer advice). It seems clear you’re much closer to her than to the fiance, so your friendship should count for something in your decision.
Regardless, know you won’t be thanked for passing this kind of information along. Your friendship with this woman would likely end (even if she eventually realizes you don’t deserve the blame for her behavior, it will probably be too late to repair the friendship by then), and the fiance probably won’t ever want to see you again.
Weigh ALL of that before you open your mouth. On cheating, I’m black and white. But on tattling? I’d say you need to think hard about the grey area.