We extend classical results on variational inequalities with convex sets with gradient constraint to a new class of fractional partial differential equations in a bounded domain with constraint on the distributional Riesz fractional gradient, the sigma-gradient (0 < sigma < 1). We establish continuous dependence results with respect to the data, including the threshold of the fractional sigma-gradient. Using these properties we give new results on the existence to a class of quasi-variational variational inequalities with fractional gradient constraint via compactness and via contraction arguments. Using the approximation of the solutions with a family of quasilinear penalisation problems we show the existence of generalised Lagrange multipliers for the sigma-gradient constrained problem, extending previous results for the classical gradient case, i.e., with sigma = 1.