Can I Legally Run Away to Mexico if I'm Pregnant

My question involves juvenile law in the State of: I feel like I'm in an dangerous household full of emotional abuse and I am 16 and pregnant, my fiancés family is from Mexico and I can speak Spanish, can we runaway to Mexican and start a new life there? Or is there any way he can have legal custody of me so we can live together with our new baby before we get married somehow? I have passport and can apply for a visa to live and work in Mexico

NO.