I've been in a similar situation where I was engaged and no longer wanted to marry the person. I won't lie, it wasn't easy. I thought about the pros and cons of my decision and ultimately, there were more pros to ending the relationship than there were cons. You have to be honest with yourself. I wasn't happy and I didn't forsee a positive outcome to it, even if we had gone to a couples therapist or sought some other means of making the relationship good again. I think we're both far better off without each other and I like where I am now in life.
As for your situation, I think you have every reason to be upset that you didn't find out that your fiancee was taking a job somewhere else until after he proposed to you. To me, it sounds as though he knew that you wouldn't want to move, so therefore, he asked you to marry him first, thereby placing all the blame on you should the relationship not work because you don't want to move.
Obviously, we don't know all of the details here, so it would be wrong of us to place blame on either of you or to take sides. Be advised, some people will lambast you for this (as I see some already have). I went through it, too, and although I believe everyone is entitled to their opinion, it's unfair to call a person a coward or heartless for a decision based on events that we know only a fraction about.
Stay true to yourself, keep your chin up, and hope that it works out for the best for both of you.