IMO, it would have been fair to deny your application due to fiance's allergies but I would be very upset about the rest of what you went through.
Some rescues do try their best to find the best home possible and that's great but too many of them do these kinds of things, string people along, deny applications for no good reason at all, etc. I would like to rescue a couple Yorkies someday but hearing all of these stories about how hard it is to rescue and everything new owner has to go through, I think going to a breeder would be a lot less headache and heartache.
I'm sorry you didn't get your kitties.