I'm allergic to cats, so don't have that problem, but I would think one of those litter boxes that has a cover might help.  It's possible that the smell of the cat urine, etc. might be the cause of the headaches.  Changing the litter often, even every day if necessary, might make a difference.

You might think about keeping cats and everything to do with cats as far from the bedroom as possible.  Keep the bedroom door closed 24/7.  If fresh air doesn't bother your fiancé, keep a window open at least a little in the bedroom at night.  Finally, a 3M allergen filter for your heating and cooling unit might help, too.  They're available at home stores for about $15.  They say to change them every few months, but changing them monthly might be better.

Of course, being the mysterious and unpredictable disease it is, none of that might work.  It might also be helpful for him to switch to a scent-free soap.  You've probably read our "bucket" metaphor, and even one scented soap might fill his bucket and the cat litter might cause it to overflow.  Basis soap is scent-free.  Natural scents don't bother me, only synthetic, but others have more problems with them.

He's very lucky to have a fiancé like you!

Jen;
I have a suggestion if the walnut shell litter doesn't work out. When we had a cat spayed years ago, we were told by the vet to use torn newspapers. Well; that turned out so well, because the dust didn't nfly up when we changed it, & the cats paws didn't "track" pieces of it through the house! So, the vet said no reason why we couldn't continue to "recycle" papers. We've been doing this for years now. Punkin went to that big litterbox in the sky, but our other cat has no problem with it.
WE first wash the litterbox (wearing  dishwashing gloves) in the laundry tub; paper towel dry. Then, line it with several layers of newspaper. Next, put the lid on to "hold that paper down. Then, put hand shredded newspaper inside- a few handfuls. Then when you go to change it in 2-3 days, take the lid off; pull the whole shebang by the corners of the layered sheets, and repeat the process. We leave the litterbox in the laundry room.
I hope this helps. If you have any questions, feel free to pm me
Good luck with your kitty. Ours isnt allowed in the bedroom either, a spray bottle of water helps when the door isnt shut.
lori

I have 3 cats and changed to Feline Pine Cat Litter (pellets) last December when I got a gorgeous Ragdoll Sealpoint.  The breeder recommended it.  The first day I used it I thought I was reacting, but stuck with it and it's great.  Stays so much fresher than clay.

Do you live in a house with a garage attacted???  We got a small doggie door and put it into the door that goes to the garage.  The litter box is in the garage far, far away from the rest of the house, and the cats can come and go as needed! We leave the doggie door open so they can just run through!
Good luck,
Pam

Hey Jen;
Glad things are better with the catbox issue! I forgot to mention- if you do end up trying the newspaper- Don't use a paper shredder! I tried & it shreds the paper sooo small, that Woobie's fluffy tail kept catching it in his fur . So I just keep a box/bag in the cupboard (or closet) & shred when Im watching tv or somthing.  (sorry, its one a those bad spelling days). Anyhow we get the Sunday papres only, 7
& tht seems to be enoug to alwasy have on hand.
lori