In the game, pregnant animals are sold less than normal one. It is not logic as it offers a second animal.
Current price calculation takes into account the health of the animal and thus pregnancy gives a malus.
I have never met a merchant selling pregnant animals (maybe it would be cool to add it if it doesn't exist yet), but I think they should cost more too.
I did fix this some days ago for another report, pregnancy will no longer cause a market value penalty.
Thanks for reporting! ;)