Thank you, everyone for your replies. I did read them while I was in Rome, but I did not want to reply as I was trying to think about this as little as possible at that point.
I did message the OW's fiance and tell him that I would answer more questions when I was back home. He understood. I guess I replied to the first few emails because I remember how upset I was when I first found out and so I wanted to be as helpful as possible to try and spare him from wondering and imaging the worst until he heard back from me.
The good news is that his fiance also says that the two of them only talked online and that they never actually met in person. Not that I really trust much of what she would say, after all, she knew my WH was engaged at the time and still pursued him, but if she said they did physically get together, I would have been devastated.
As far as the nightmares, I did start waking my husband up when they happen and he has been nothing but supportive and caring until I could fall back asleep.
It's been over a month now since I found out, and he is still doing everything right. That really gives me hope. But, being back home and living this nightmare again is hard.