Meike is right that you can marry in Germany if you have all necessary documents. But it is very important to find out in advance, what documents you both must provide to the marriage registration authority (Standesamt) and in what form. There are special rules for citizens of different countries. For example, citizens of many countries can only marry in Germany, if their documents are preliminarily checked and authorised through the German embassy in their country of origin. So the first step, if you want to be married in Germany, is to ask the German Standesamt (in the place where your fiancee lives) to give you information, what you need for this marriage as citizens of this or that country. And then collect these documents exactly as claimed.
As alternative you can marry in some other country but you must be sure that this marriage will be accepted as legal in Germany, if you need a family reunion after that.
As you are going to marry after your fiancee got his refugee status, it is not possible to get any privileges because of his status. A privileged family reunion to political refugees is only granted if the couple married before the person with this status came to Germany. It refers to the language level requirements (A1 German certificate for the spouse) as well as the requirement to cover all costs of living for the family and, I beleive, to have enough living space (at least 12 square meters for 1 adult person),
The regulations for a family reunion are in Aliens Law (Aufenthaltsgesetz): §30 (fam. reunion for married persons), in §29 (Family reunion to foreigners), §5 (common conditions for issuing a residence permit).
If you don't fulfil the conditions, you won't get a visa for a family reunion from German embassy, even if you are properly married.
So, if your intention is serious, start to learn German. It is unfortunately often the case that people have a rejection because of A1.