Hmm I am guessing english isn't your first language and not trying to be rude but so....
Did is used for past, things that already happened and cheating is used for present well present continuous to be precise meaning things that are happening right now in the present. So all in all both will never be used together.
If you wanna talk about past you would say
Did he cheat on his fiance?
In the present you would
Is he cheating on his fiance?
Why not from and on?
Well you see here "cheat on" is like a phrase I would say. Idk if it follows the grammar rules or not.
English is not my first language either so tryna help only!ヾ(❀╹◡╹)ノ~

Did he cheating from his fiance?