That sounds very difficult - not just financially but emotionally too, I'm sure. What a big adjustment for you all.
Their mom just never came back??!! Do you know where she is? Has she been in contact? How awful for the kids [well, although I dream about my stepdaughters' mom doing something like this one day!]. How is your daughter adjusting to having her step-sibs around on a permanent basis?
I understand feeling frustrated with the financial burden. My husband is a stay-at-home dad, and while we both value this immensely, sometimes I get overwhelmed with the responsibility of paying for almost everything (I cover his child support - heck, it's less than daycare would be in this city anyway, and his being at home is invaluable). How does your fiance feel about the $$ situation? A lot of men feel uncomfortably 'dependent' when their female partner earns more than them, especially if she's supporting kids that are not biologically hers. Is it just that his line of work au moment pays less well than yours? I know that if my dh were working full-time outside the home, he still could earn maybe half of what I do - it's just the nature of what kind of paid work I do, and not any inadequacy on his part.
I think what helps in our family is that I have always made a conscious effort to think not of 'my' money and 'my' child/responsibility versus 'his' money and 'his' kids/responsibility - we're a family unit, and our money is earned as a family. I figure that he and I both work hard and society is just organized in a weird way so that I get the paycheque for the both of us. I haven't been able to afford anything frivolous since before I can remember (let me see, maybe when I was about 20??), so I don't know how it feels for your ability to do that for you and your daughter to be compromised, which I can see would be frustrating. Realistically, though, if you're a family of 6 now, you're not going to be able to do all the same things with your money as when you were a family of 2 or 3, right?
Have you guys looked at child support from the mom? Obviously she has a legal and ethical responsibility to contribute to her children's support.