Hola Byron!!
Congratulations!!!! WOW...you sure on a WILD roller coaster ride!!!! Are you having fun?
Now that your baby is PREGNANT....have you thought about where the baby will be born?
Since this event is not covered on any insurance plan, it might be less expensive for her to have the baby in Colombia. But, that means leaving her in Bogota until the birth...and for some time afterwards. Or, if she comes to the US before the birth of the baby...the costs of having a baby here are really pretty expensive....and it will all be coming out of your pocket.

That...plus the costs of your wedding, Immigration petition for Leidy, Examinations for Immigration, Maternity visits to the doctors in Bogota, administration of the needed shots/vaccinations for your fiance to come on the K1 Visa, etc.
I agree with the person who posted..."should have gotten married first." But, now that is another matter.
Also, have you thought about the fact that...well, I think you have lots of things to think about. Final thing...I think you need not worry about what your future mother-in-law is doing in Canada. You are applying to bring YOUR fiance to the USA for marriage. If you are asked for information, give it. But, don't volunteer it. (As an aside...it could be brought up by USCIS that it
appears that "Her Family/Leidy" are attempting to leave Colombia by all possible means...possibly raising a red flag. Just a thought.)
Sincere Best Wishes, Think positive thoughts