I am applying for a S2 visa to visit my Fiance and her family in Shenzhen. Should this work?

Kendall, if you cannot provide the "proof of relationship", it's still possible to get the S2 type, but the chance is not that big. Anyway, even though they may not give you the S2 type, you can apply for a tourist L type by submitting the invitation. The L type can be used to visit your fiance and her family too.