“What happens if my foreign fiancé gets pregnant in the middle of the process?”
Essentially, the visa process continues. Pregnancy can be used as additional evidence of a bona fide or good-faith relationship. The U.S. citizen parent-to-be could be required to sign a statement acknowledging the pregnancy.
If the child is born outside the United States, make sure you register the birth at a U.S. Embassy or Consulate. There are requirements, and you can find more information on the birth of a U.S. citizen abroad page of the State Department website. This means they can be issued a U.S. passport and travel to-and-from the United States.
If your child is not immediately eligible for U.S. citizenship, you can always sponsor them for a green card by using the IR-2 visa, and then, after five years of living in the United States, they will be eligible for U.S. citizenship.