If you do, depending on how soon you leave, she will be unable to adjust status to permanent resident.
Adjusting status takes approx 8 months, so if you leave before she has adjusted status, then her petition will be deemed abandoned. Also, if she does successfully adjust status and obtains a greencard, she will need to permanently reside in the US in order to maintain it (to live in another country, and not maintain residence in the US could mean that she abandons her greencard).
However, if your plan is to permanently move to her country and not adjust status, then that is fine. You can get married and then leave without any problems. Im guessing your fiance is from a country where it is difficult to obtain a tourist visa?