There is no Nigeria consulate in guangzhou.So you could try to contact the embassy in beijing.In fact,I think you should contact the police office in guangzhou where your fiance has stayed before.
Embassy of the Federal Republic of Nigeria:Phone number 86-10-65323631/65321650.Address: No.2, Dongwujie, Sanlitun, Beijing, China.(Zip Code:100600)
http://www.nigeriachina.com/Here is an intro about poice certificate:
Police Certificates are required from every visa applicant aged 16 years or over for each locality of the country of the applicant's nationality of current residence where the applicant has resided for at least six months since attaining the age of sixteen. Police certificates are also required from all other countries where the applicant has resided for at least one year. Generally, application for such certificates should be made directly to police authorities in the district in which you resided. If you have any questions about where or how to apply for police certificates in other countries, you may communicate directly with the U.S. consular office processing your visa applications.