You received a call that OW was pregnant - who called you?
If OW did - then bear in mind that they HAVE been known to fake pregnancies on occasion.
If someone else told you the gossip - it could be your H's, or it could be someone else's. (I don't, however, believe your H's claim that he never slept with her - take that with a HUGE grain of salt.)
Is OW even claiming this is H's child?
And if it was - would that be a dealbreaker for you? (It would for many people, but not all).
I think your plan to just sit for a bit and get your finances in order is the best idea. Fretting about it won't change what is or isn't true. And the truth will come out eventually.
