Fa Ri Da

Shouldn't be an issue for the interview.  But it will increase the household size by one and hopefully she has maternity leave as he is not going to be able to work for a long time.

he is the middle easterner not her
will the baby be born by time of his interview?
it is against cultural norms for Egypt but not for the USC but the Egyptian family may not be in favor of this marriage 
and that question is often asked
so much will depend on if she has to include the child on the application and support order
and if asked he has to answer honestly 
but it would be so much better if she were to return and marry (if not too far along) but again the family may not support the marriage and can even disallow it (i believe but could be wrong as this happened to a Boston girl who went to morocco and got pregnant and the mother said no to the marriage)
 

Thinking that apregnancy will “help” a case is always flawed. A genuine relationship involves more than that. 

Honestly I do not think it will be considered a positive.  It actually could be negative, as the consular could think that he got her pregnant on purpose just to get the visa.

No matter if it's positive or negative, lying is a big no no. If they find out she lied, even after they granted the visa, they can make the choice of revoking her status and deporting her. So if they ask, she should answer the question honestly. Pregnancies happen, it's not a valid reason to provide a visa if the consular doesn't trust their relationship is real.

No one can say for sure if it will be a problem as each embassy is different. I would not volunteer the information but if asked it's ALWAYS the right thing to do is confirm it. Being truthful is the best policy to follow.