CESep

If I left the nickname off of the forms.. What about the secondary evidence we will be using for the visa interview? Any correspondence would have "Casey" on it. Also, my fiance would likely call me "Casey" when being interviewed, since he is not accustomed to saying Cassandra (he does know my real name though). Would this cause a problem with the consulate employee who performs the interview?

Unfortunately, not a lot of people on VJ are from Belize. I asked them to add the Belize consulate, but I guess they just added it to the consulate page, not the timelines.
I have a friend who went through the IR1 process for his Belizean wife. He told me they were very friendly and responsive, and liked dealing with them far more than any type of US agency. Of course I'm sure it all depends on who you talk to at the consulate. My man's experience with his visitor visa interview was not so great several years ago, but the more recent application went smoothly. Overall, I haven't heard any horror stories from anyone, so my impression is that it will be fine as long as you are telling the truth and have the paperwork in order.

Brace yourself because this is going to sound a little harsh...
Your fiance didn't read the form instructions. Even without the VJ guides, you could have successfully submitted the I-129F petition AND included all of the required supporting forms, documents, and evidence just by exactly following the instructions for the I-129F form.
You don't need "proof of relationship" with the petition. You DO need proof that you've met, face-to-face, sometime in the last two years. You also need original statements from each of you indicating your intention to marry, and you may provide additional evidence to support your intentions. All of this is covered, in painful detail, in the form instructions. The form instructions also tell you to submit a G-325A form for each of you, and THAT form also has instructions. There is also evidence that must be submitted, and other evidence that may be required, depending on your circumstances. Again, it's all covered in detail in the form instructions.
I have seen other cases where people didn't read the instructions, and sent only the I-129F form, and they got a lengthy RFE asking for all of the additional required forms, documents, and evidence. I've also seen cases just like yours, where the petition was flat out denied. A USCIS adjudicator receives guidance in the Adjudicators Field Manual to send an RFE rather than deny when a case would be approvable if further evidence were provided, but this is a discretionary call the adjudicator makes. If they received none of the required evidence then it's understandable that they might not have the patience to play RFE tag with someone who clearly doesn't understand what they were supposed to have done.
It's also possible that your fiance blew some extremely important declaration on the I-129F. For example, did he check the "married" box for either of you? Did he fail to indicate how he acquired his US citizenship? Did he check "no" to question 18 - have you met and seen each other within the past two years? Did he check "yes" in response to the criminal conviction questions in part C? Did he fail to sign the form? Any of these would be sufficient reason to deny the petition outright, though some of these could have been overcome by providing the appropriate evidence.
Is your fiance subject to the IMBRA filing limitations? If so, did he include a request for a waiver? Don't know what I'm talking about? Of course not, because you didn't read the instructions.
Look, I'm not trying to rub your faces in this, but you and your fiance need to understand that the US government is beyond ####### when it comes to getting immigration paperwork right. They will not take you by the hand and walk you through it. They publish detailed instructions, and they expect you to follow them.
A minor point on semantics - don't refer to the I-129F as a "demand". There are many things which Americans have a right to demand of the government, but immigration is not one of them. Every immigrant visa petition is a "request", and a request can be denied.
Read the guides. Read the form instructions. File again.

Not in the long run.. With the K-1 app you also have to file the AOS (around $1000) which adds up to be more than the CR-1.

Also, have you submitted the I-129F to USCIS yet? The DS visa app form is a later part of the process, not included in the original I-129F filing.
Here is the K-1 guide on this site:
http://www.visajourney.com/content/k1guide