I agree entirely with Annlinda It certainly seems like his new wife to be doesn't like the fact his ex-girlfriend is still involved in his families life. Both your son and his fiance need to grow up as she clearly feels threatened. It is his son and he needs to accept respnsibility, if he has chosen not to it is unfair to expect you, as the grandparents, to do the same.
Maybe try to talk to your son, without her around, and explain that if he doesn't want to see his child then fine, but you will carry on the contact and that he needs to think about what it is he is asking of you. Say to him that to suddenly stop seeing your grandson would feel to you as it would to him if he suddenly stopped having you both in his life, which is what he is threatening to do. Ask him how easy he thinks that would be?
I hope that last bit makes sense!