From what I gathered the reason why Adalind got pregnant a second time was because Juliette changed her appearance to look like Adalind and there was even a period where she felt like she was pregnant. I’m pretty sure that the baby was conceived in Juliette’s body and she was just feeling the lingering effects of the baby since it was transferred to Adalinds body after Juliette switched back to her own appearance. That’s why Adalind was so confused. It also makes sense that Adalind didn’t get pregnant the first time around by Nick because the baby would have been transferred to Adalind. This would have been a good thing for them to make note of for the future in case anything else like this happens to other or to them again.