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In this case it's basically all about the legal status of your fiancé. As an asylum seeker he is not allowed to travel. Now the question is what type of temporary residence permit will he get? Is it a so-called "Duldung", "subsidiärer Schutz" (subsidiary protection) or will he be a fully acknowledged refugee?
The latter would mean that he can travel to the UK or the Netherlands in order to marry you there.
Holding "Duldung" means that he is not allowed to leave Germany. With "subsidiärer Schutz" it's also not that easy to leave the country because he doesn't get travel documents. He needs his home country's passport and (maybe) a visa. So if he has "Duldung" or "subsidiärer Schutz" it's probably easier for you to get married in Germany.
(Note that he is allowed to marry no matter what his legal status is)