She wasn't pregnant because her mother was a Lannister spy secretly giving her moon tea.
In the books, I can almost guarantee Lyanna Mormont has the letter legitimizing Jon and dissolving his NW vows. That is why she says "only recognize one king whose name is Stark", Jon's name isn't Stark, so when they have her that line in the show, it didn't make much sense. That is how he will become KitN in the books not them deciding to follow a bastard because he led a battle.
Before the show made Jon KitN I thought it may be because she knew where Rickon was and that he is alive, but now I believe that it is referring to Jon.