Do you think that Jews would hesitate to report Christian pregnant women to Rome? I don't remember reading any commentaries that pregnancy was protection. Also, a pregnancy only last nine months. Compared to a life span back then, 9 mos. was nothing. Today pregnant women are not executed until they deliver their baby. Children were viewed as nuisances who had little economic value. If they survived, maybe they would have worth as workers down the road. I doubt that in the first century pregnancy was treated as it is now in first world countries. If pregnancy were such protection, why not have orgies of Christians so all Christian women were impregnated. Women would need to be continuously pregnant for protection. 20 pregnancies would leave few women alive.
I don't take the Bible literally. Others do so but I am definitely not one. Understanding history, culture, and genres has made it impossible for me to believe the way I did as a young child. I don't view anything in life the way I did as a small child. A more complex view has increased my faith by leaps and bounds. It is hard to have true conversations when some people view the Bible as literal truth and others see it as inspired but shaped by human history and politcal demands.
Again, one meagre verse overtakes the overall sense of scripture. The Witnesses were masters of that strategy.