Not knowing anything more than you have contributed, I have an idea of what you will be facing. When you tell them, together or apart (I might suggest together, who knows what kind of nasty stuff they may suggest to their son if you are not there) they will look very disappointed, they will sigh, they will give you a speech about how your actions are unacceptable to them as Christians. That they haven't shunned him already (and they should have according to their teachings) means that they may decide to at this time, or it means that they will love bomb you and him--because grandbabies make people do crazy things. They may make speeches about how they don't feel like they can support you, visit you in your (oh so sinful)home, and don't expect them to babysit. They may pressure you to marry or pressure him to leave you-or they may just shut down and be colder than they were before. I suspect cold, but not an entire cutting off-because they see the next generation-your baby-as their chance to redeem themselves. Therefore, I would lay down some ground rules after the baby is born, but before it is old enough to understand any of the dynamics. Decide for yourself and BF if your child can be exposed to that religion at all. If they are hardcore, they may try to take baby/child to kingdom hall and give them indoctrination-subtle or totally overt--to convert him to their way of thinking.
I would strongly suggest that you immediately go to a lawyer and write up a will and custodial papers including your wishes for who would raise the child in the event the two of you were deceased or incapable. Think of some nice normal people!
Congratulations on your little one! What a blessing. I hope you are all very happy and you and baby healthy. This is a hard time even without the JW stuff. Don't let this stuff get too intense or hard. If they are hideous, just tell BF you need to drop it(them) for the time being and concentrate on your immediate family and health. If they try to make it hard, just cut them off.
You might want to get some kind of agreement with BF that he will NOT try to raise the child JW, even if he changes back. I have no idea if it is enforcable, but JWs often DO go back, especially after having children. Since you aren't married, you should see an atty. anyway and work out some agreements as to custody and visitation issues in the event of a break up. Kind of a pre-natal agreement. This might make the both of you think harder before doing stupid things that could hurt your family or especially that beautiful little baby.