Romance where a princess goes on a journey to find her missing fiancé with his older half brother

I read this book about 5-6 years ago where a princesses fiancé goes missing and she goes to find him with the help of his older halfbrother.

Things I remember:

Might have been a fantasy

I think his room or something was set up to kidnapped but when they find him in the third act, it is revealed that he staged the scene and ran away because he didn’t want to marry her/got cold feet before their wedding

The fiancé is a prince and his half brother is a soldier.

She falls in love with the half brother

I think there’s a second book

The Lochlann Treaty? Looks like it exists as one volume, or the first book is Winter's Captive