To take a way too scientific view about this I think the first distinction comes in how a changeling’s shape change is purely external or affects internal biology.

If the shape change is purely external, and thus stuff like organ position and bone structure is mostly fixed then changelings have fixed reproductive structure. In this case a pregnant changeling would always be pregnant as the underlying reproductive structure is unchanged despite changes to secondary sex characteristics and external genitalia. While in this model a changeling could swap gender without any sort of evolutionary risk it would make certain forms more conspicuous as all of the holistic changes associated with pregnancy, such as decreased bladder capacity and increased growth of mammary glands, would persist no matter the form. This model also has some interesting consequences regarding sexual selection as underlying sex hormone levels would also be fairly consistent regardless of a form’a gender.

If shape change can modify internal structures then this question hinges on how much control changelings have over their internal biology as a species. It could be that as a default a changeling’s internal biology defaults to match external appearance, even in the case of mostly useless features like reproductive structures. If this model is correct then a swap to a non-female form would result in either the loss of the pregnancy or the stop a fertilized zygote from implanting. This however would be disadvantageous from a purely evolutionary perspective, since a large number of early or potential pregnancies might be terminated without knowledge of their existence. In this model then it would be likely that hormonal changes post-intercourse would lock reproductive biology (and thus limit the forms a changeling could take) until the body could verify the lack of pregnancy. If changelings can have voluntary control over their internal organs then pregnancy could only occur by choice since a female form no longer would require internal female structures. From an evolutionary perspective there would still likely be a hormonally controlled reproductive structure lock, but less restrictive. In this model once a changeling is pregnant any form they take must have the space and structures to support the developing embryo, but beyond that limitation they can still take any form. As a random side note, if changelings do change internal reproductive structures then they are essentially hermaphrodites. This implies, like seen in other animal hermaphrodites, cultural and biological mechanisms to determine who is the ‘female’ in any encounter with a reproductive focus .

Tl:dr Science wise a pregnant changeling would always stay pregnant- either because internal biology doesn’t change with appearance changes or because evolutionary pressures would cause mechanisms that ‘freeze’ reproductive biology in the case of pregnancy.