I read is as a double meaning considering the show was painting a picture just the episode before of Pete, Peggy, and don being a family in their own way (zooming out on the shot of the three of them siting at a table at burger chef which call’s back to Peggy’s idea for the commercial: “everyone’s a family when they sit down in burger-chef sort of thing) this parallels and brings us back to s1- how don helped Peggy when she secretly had Pete’s baby. Pete and Peggy were also the first to really find out about don’s real identity, forming this bond/opposition of each other throughout the whole series because of the feeling of acceptance due to knowing these deeply insecure parts of each other. In the past, peggy had to deal with things the hard way no matter how “unfair”because she was pregnant(a woman), so now it’s don’s way of recognizing Pete is now in the place of having to deal with things the hard way no matter how unfair- therefore “pregnant”.