OK I see what happened, I didn't know that foreigners who entered the US were issued an I-94, when me and me fiancé arrived at the airport, the immigration people pulled us aside, took our k-1 visa packet that given by embassy after visa approval and I assumed were going to interview her. After waiting in the waiting area they simply said we could leave, no interview, so we left and thought we could get married next week and apply for AOS afterwards.
Looks like the immigration people had issued us an electronic I-94 but didn't bother to tell us or explain that it would be needed in the future. I went to https://i94.cbp.dhs.gov/I94/#/history-search entered by fiancés details and was able to print the I-94
so my next step is to apply for SSA, I will do that now