well don't just get married because you feel you have too, it will end badly for everyone in the situation.

If you want to get married because you want to be with her forever then have her go to your home country, get a quick court wedding. Once she has this there wont be any problems for her being pregnant in Doha whether or not you are there. As long as she has an official document proving you two are married she will be in no trouble at all. If you do choose to get married, she can come back to Doha and speak to her company and get your sponsorship sorted out.

And congratulations on the baby, what a blessing :D

tra la la