This is worth pursuing directly and the mailroom supervisor is exactly the right person to call.
There are several legitimate reasons mail gets held or rejected at a correctional facility, and knowing which one applies is the first step toward fixing it. The most common causes include a missing or incorrect inmate ID number on the envelope, a name that does not match exactly how it appears in the facility's system, content that was flagged during inspection, or a sender whose name or address triggered a review for some reason. In some cases facilities temporarily suspend mail delivery to a specific inmate due to an investigation or disciplinary action, though that is less common.
Call Montana State Prison and ask to speak specifically with the mailroom supervisor. When you get them on the line, be calm and factual. Explain that you have been sending letters regularly, provide the dates you sent them, your name as it appears on the return address, and your fiancé's full legal name and inmate number. Ask them directly whether your mail has been received, whether it has been held, and if so, what the reason is.
Keep the tone professional and cooperative rather than accusatory. Mailroom staff deal with a high volume of correspondence and a supervisor who feels they are being approached respectfully is more likely to actually investigate and give you a useful answer.
If the call does not resolve it, your fiancé can file a formal grievance from inside asking the facility to account for the missing mail. That creates a paper trail on his end that adds weight to the inquiry.
In the meantime, sending letters through InmateAid ensures they go out through a channel that facilities recognize and that the process is documented on your end.