We had some dealings with a lawyer who retained a PI for some other services (e.g. taking photos of scenes of a car accident where negligence was involved), but in my conversations with the PI, I did ask him about these types of things. He had done a fair amount of work in the area of cheating spouses/fiancees. I also know of lawyers who have engaged PIs to check on spouses for drug use or other activities when there is a divorce underway. So it's not just on TV shows or for the ultra-rich. Like anything else, you need someone reliable and honest.
The problem here is that your sister suspects her fiancé, but she has tipped him off to her concerns. So even if he's very careful from now on and doesn't do anything for a PI to catch him in, she doesn't trust him for what may or may not have happened in the past. So they have this huge barrier between them. She went on the word of someone "credible" in her eyes, and in addition, a lot of women would say "trust your gut". She's had suspicions in the past but she has stayed with him.
So I think she needs to do something decisive right now. Her invitations are about to go out, she's about to invest even more money in a wedding, and she's unsure. She either needs to postpone it indefinitely while they get some counseling, she needs to call it off and end the relationship (and get therapy to help her heal and figure out why she stays with someone who cheats), or she needs to get a PI who can unearth what has already happened.
If she gets a PI, she needs to know what she's going to do with any info uncovered. Is she going to try to save the relationship? Is she going to confront the fiancé with the evidence and feel better about a clean break now that she has proof? And what if nothing is unearthed? Does that mean he didn't cheat, or that the PI couldn't find anything? If you do get a PI, I'd suggest going to a couple of divorce attorneys to see who they recommend, who is reasonable in price, and who will give you a sensible estimate of how much time/money this is going to entail at least in the initial stages. A good PI should consult her for free to help her determine if the services are worth the investment. That doesn't mean he'll spend 2 hours with her and listen to her sad story but it does mean a reasonable consultation to see if this is a good working relationship and if she has anything to go on, such as witnesses or the name of the other woman.
Good luck.