Hmmm. Despite the fact that BrE uses the phrase "To my immense disappointment", "Gina's disappointment was immense" sounds very odd. I would probably use the phrase I mentioned at the beginning of my post at the beginning of yours!
To her great/huge/immense disappointment/shock, Gina discovered [that] her fiancé was already married.
If you want to keep your word order, I'd probably write:
Gina was immensely disappointed when it turned out [that] her fiancé was already married.