Do you mean pay for the Nanny to take time off during her pregnancy to go to Dr. appts, etc.? I think that wouldn't be fair to you as her employer. If she needs to see her Dr. or do any other pregnancy-related things, she shouldn't expect to take PAID time off for them.
And when she has her baby, and has to take time off for that, she also shouldn't expect to be paid for the time she will need off as well.
Whether or not you want to keep her job for her is up to you.
Will you be okay with her bringing her new baby along to work? Will she have someone on hand to watch the baby for her while she watches yours??
These issues must be addressed.
Also, you are in the predicament where you must find a substitute nanny as well.