Hi Gigi,
The general advice on this site is to validate the valid but not the invalid. If she's going to such lengths to perpetuate this fantasy, she might crave attention, money, a baby shower and/or a place to stay. It sounds like she wants to showcase how terrible her ex is as well, to cement her role as victim in this delusion, and use it as a form of control. Maybe you could focus on her feelings--how scary it must be to face all these changes and worries and uncertainties, and feel abandoned by the ex, and see where that goes, without pressing for factual details about the baby? But since she's taken this so far, if you challenge her on the facts, she might become furious, because you'd be "invalidating" her version of events.
I don't really know, honestly. What I experienced with my diagnosed stepdaughter was that she would test out stories of abuse and trauma to get attention and play the victim, but many of the stories had questionable fact patterns and timelines. On a few of the stories, she conveniently omitted her role in starting an altercation--and accused others of assault, when she was the instigator. I think that she eventually learned to keep details hazy, so that she couldn't be challenged on the facts or take any of the blame. But I think the feelings behind the traumatic stories were genuine, even if the facts weren't. So maybe focus on the feelings.
It's hard to say where this goes, because at some point the baby will need to materialize, or the story dies. As I write this I'm wondering if she'll say the baby didn't make it, taking the fantasy to a whole other level.