Since it is also possible to say 'She's having a baby' ,which is the present continuous used for the future, I think the sense is normally that of a planned future event. But If you see a pregnant woman in the street and say 'Oh, she's going to have a baby.' Your prediction is obviously based on her evident condition. So both reasons for using 'going to' work.

It simply means,that she is pregnant!

You are right. We need the context. She might just get married (or even not), not pregnant. But simply willing and planning to be a mother soon and working on it now. She might be pregnant right now. Thing is, we totally can't be sure out of the context.

Good answers, they are right. "be going to" used this way expresses the notion of a prior plan which makes this particular use better than "will" which can be confused with future happening(s). And a good question, Rami.

No. It means a future event that is based on events that have already happened and are known. Compare with future events based on a decision made in the past. That is also "going to".