Hi
I'm sorry that this happened to you. I assume you know the premarital sex was a sin. Is it possible your husband foolishly threatened divorce because he was angry in the moment, and he's not that serious about it? It's an awful and unethical thing, but some spouses threaten divorce when they get angry.
Does he claim to be a Christian? You can point out if he divorces you and sleeps with or marries someone else, that's adultery. You could also suggest pastoral counseling. You can also point out that it's wrong for him to leave you when you haven't done anything wrong, and that he's abandoning his baby. Be careful though with the arguments if you want him to stay. He just met you.
It usually takes some time for a man to get used to the idea of getting engaged or getting married. Usually, men ease into the idea over a number of months and by the time the wedding happens, they are fairly settled into the idea. Since it happened so fast, if he doesn't have strong Biblical morals, he may be convincing himself that it's not a 'real' marriage. Maybe his friends tell him that sort of thing.
I've heard people call so-called 'mail order bride' marriages 'sham marriages'. That doesn't sit well with me. If you commit to the marriage, you commit the the marriage, no matter what courtship rituals you went through first. Some people think that way.
Some people have no morals when it comes to marriage. If he's hanging around men like that who are bitter because they are going through divorces, maybe they are feeding him some bad thoughts about marriage. If you two reconcile, maybe you could help him find a new circle of friends. Have you started praying together or going to church together? Also, you both need to meet both sets of parents. That makes it seem more 'real'.