Flirtatious relationship with his co-worker?

Okay so before I begin, I will admit that I do have some trust issues due to being cheated on by my last two boyfriends...it’s been a struggle but I think I’m getting better! It’s very hard!

Anyways, a few months ago my fiancé was texting back and forth with his female coworker, they were sending memes back and forth about work and she was messaging him on Facebook and said, “hey butthead, add me on Snapchat.” After that happened, I opened up to him about that fact that I wasn’t okay with it & he said he would stop.

Well, this morning I found a text from her with another meme, but he didn’t respond and there were no other messages. I know he’s messaged her before but all those messages were gone. It makes me feel like he’s trying to hide what he sent...he keeps all his other coworkers messages and doesn’t delete them.

I did confront him this morning and he said she’s sent memes before but he just deletes them because he knows I would freak out and said he loved me and doesn’t want to fight...

Idk, I’m pregnant and due in 3 weeks and very hormonal...just came on here to vent basically and wondering if I should even be concerned or just slide in under the rug.

Thanks ☺️