On the part of the Thai Fiancée —
The K1 visa issued at the US Embassy in Thailand will automatically expire after 90 days from entry and its validity may not be extended. If the K1 holder (Thai fiancée) did not marry the petitioner (US fiancé) who filed the Petition for Alien Fiancé in favor of her, she may be immediately removed from the US.
If K2 visas were issued in favor of the Thai children of the K1 holder, their visas will also be deemed revoked. They will also have to leave the US to avoid facing deportation or removal.
Even if the K1 holder marries another US citizen other than the petitioner, she will still have to leave. Her husband will have to file another petition in the United States Citizenship and Immigration Services (USCIS) to permit her to enter the US and consequently adjust her status.
On the US Fiancé’s side —
The US citizen fiancé is also affected by the non-celebration of the marriage. The consequence is actually on the future petition for alien fiancé he will file. Under the International Marriage Broker regulation Act (IMBRA for brevity), US citizens are only allowed to have 2 approved Petitions for Alien Fiancé at any time.
Being so, the US citizen fiancé, if he this is already his second similar petition, he may already be barred from filing another petition unless there was a waiver granted by the USCIS.
Even if the case is the first approved petition, the US citizen Fiancé may not file another petition of similar nature within the next two years counted from the filing date of the approved petition.