Baby shower question

Ok I need some advice on this one..... All of my family is out of state and my fiancés family is not very close. My closest girlfriends are also out of state. I don't think anyone here would plan a shower at all. I talked to my fiancé about it and he said he had been thinking about it too. Is it wrong to plan my own shower? I'm actually pretty sad about this..... Not sure what to do?