If I had to guess, I'd say that in your past you've dealt with people who sneak around on you. But if this man is to be your husband, you need to learn to back off and trust him.
It sounds like he mostly gets home at the same time each night. There is no reason for him to call. But, you should say "if you are going to be getting home more than 30 minutes later than usual, please send me a text or call so I don't stay up worrying."
Ask him why his coworker drops him off at the corner instead of in front of the house. It does seem a bit odd....but then YOU have already shown that you are controlling and possibly jealous, so perhaps he simply doesn't want to get you riled up. If you ask him and it ends up being something you don't want to hear, like, "it's Sheila, one of the waitresses, who drives me home, but I didn't want to tell you because I knew it would upset you." Don't set him up for failure. He's trying not to hurt you, but with YOU, either way he goes he's screwed.
It might be that it IS a female coworker who is dropping him off because she happens to be going that direction. So what? I work mostly with men (military)....it doesn't mean I'm sleeping with them or even want to. Give him the benefit of the doubt.
Yes, you are being too controlling. If my husband acted like you do, I'd tell him just where to shove it. As a matter of fact, my EX husband acted very similarly to you. I was never doing anything, but I NEVER told him when I even TALKED to a male, because he'd fly off the handle and want to know if I was screwing them. I was always walking on eggshells with him...because he was a narcissistic SOB.
You husband is a GROWN MAN who is perfectly capable of taking care of himself. What did he do before you came along? He took care of himself. Quit trying to parent him. He shouldn't have to feel like he has to sneak around because he's afraid of your reactions (and they are YOUR reactions...he doesn't MAKE you feel hurt, you do that on your own).
ETA: You know, I was just thinking: The way you worded your post makes me think that you truly believe that your reactions are normal. "My fiancee thinks he doesn't have to call me when he gets off work." That implies that you believe HE is wrong for thinking that way and therefore deserving of dealing with your insecurities and controlling behavior. It seems like you are looking for us to say "Heck yeah, guuuurl! Put a tight leash on that one, and yell at him when he gets home, because he's WRONG!"
The thing is, in a healthy relationship, nobody does that. Controlling behavior only occurs in UNHEALTHY relationships (and on sitcoms, where wives are controlling b*tches, and husbands are bumbling idiots who can't put their shoes on without their wives' direction).
I strongly recommend that you find a therapist for YOURSELF and work out some of the unrealistic expectations you have regarding relationships.
Best of luck!
♥
C. Lee