My paycheck is direct deposit into my fiances account. Does this make a difference in them allowing the tax checks?

You should contact your bank.  The IRS direct deposit are only suppose to go into a bank account with the name of the person entitled to get the check.

With your paychecks going in there OK, you may be alright, however I would check with my bank and let them know you have a IRS refund coming so it does not get rejected.