Will my US divorce of my Colombian marriage be valid so that I can file for a K1 or does the embassy require that I file a divorce in Colombia?

Generally, the USCIS will accept as valid a divorce decree that was lawful in the place where it was obtained. Your domestic relations/divorce attorney should be able to discuss with you whether there are any legal infirmities associated with the divorce you obtained in the U.S., and that attorney may provide a written explanation of the issue, citing applicable law, in case that may be sought by immigration authorities. For example, if your former spouse may have signed an Acknowledgement and/or Waiver of Service and otherwise consented to jurisdiction in the court that granted the divorce, the attorney's letter may explain that fact and its legal operation. Aside from this, it would be wise for you and your fiance/fiance to consult with an immigration attorney who, after learning all of the relevant information, could advise about eligibilities, options and strategies to attain your goals, and who then could offer legal representation in the often complex application process.