I once saw a card in a store that said "We're going to have a baby!" and then inside it said "Well, one of us is. The other is just going to stand there and try not to pass out".
Even so, "We're having a baby" makes much more sense than "We're pregnant". The father isn't going to spend the next nine months going through horrors such as being violently sick every morning, growing to the size of a whale with a glandular problem, and then finally the fabulous and fun-filled excruciating agony of pushing something the size of a watermelon through an opening in your body the size of a dime. Men sure have got it easy.