Lilian Baels when she married King Leopold III of the Belgians.

I don't think we can say definately whether she was pregnant when they married as they married on 11th September 1941 and Prince Alexandre was born on 18th July 1942. By my calculations that is 9 months and 1 week.

However she was pregnant at the time of her civil marriage

Marina Ogilvy, daughter of Princess Alexandra, was pregnant when she married Paul Mowatt on 2 February 1990.

Princess Alexia of Greece

I don´t think so. Princess Alexia got married in 1999 and their firstborn daughter was born in 2002.

Ute Maria Konig, wife of Prince Hubertus von Hohenzollern, nephew of the Swedish King. They married 10th July 2000.
Unfortunately, their only son, Prince Lennart, died 14th January 2001, four days after being born...

Her children are: Nikolaus (6-12-2005), Constantin (4-6-2007) and Katharina (8-11-2010)

It seems they also have a daughter Princess Vivianne of Hohenzollern (born in Munich, May 2009)

Clotilde Courau was pregnant with Princess Vittoria whe she married Prince Emmanuel Filiberto.

Prince Jean of Orléans, Dauphin of France, Duke of Vendôme & Philomena de Tornos y Steinhart, civil wedding on 19-03-2009 and religious on 19-11-2009.
Their son Gaston is born 19-11-2009.

Sorry, the religious wedding was on 02-05-2009 in stead of 19-11-2009