First of all both of you should have marriage certificate authenticated by deparment of foreign affairs on your country or if married here in doha is sealed by the embassy. I think no problem for the incoming baby because just what i've said both of you should legally married with having legal supporting marriage documents, but you cannot be the sponsor of your baby.

You know the a big question is who sponsor your wife as a maid? Is He/She (sponsor) allow that your wife will be pregnant? If I we're you I will put my self on safest way. I will send back home my wife and try to look for good job with competetive salary so you can sponsor your wife (husband sponsor). If you decide to send back home your wife, Her pregnancy should less than 6 months so the airlines can allow her.