What happens to them? I have 1 and she's been preggo for about 3 days now. Is she gonna be pregnant forever?

Yep

She will not give birth until you drop below 200 dwellers.

Literally forever. She's immortal until she gives birth, and she won't give birth until the population drops below 200.

I ended up having to send 5 other dwellers out to the wasteland to die so my 5 pregnant ladies could give birth. The fact that they are useless when an incident happens means there is no point having pregnant ladies when you're over 200 dwellers in a vault. Very annoying