She's been pregnant for the last couple eps iirc, didn't seem weird.
I agree GoT is better but that's largely because it had better, more rounded characters and Martin's dialogue is heavily included in S1-S4. The last few eps of HOTD showed potential to surpass GoT. At this point Otto, Aemond, Daemon, Rhae, etc are all well fleshed out characters. Jace is being fleshed out, and some great characters are coming in S2. In short, they have a steady cast of main+side characters now. How they're juggled will determine whether S2 hits its potential or not. For instance it would be a crime to not prominently feature Aemond in the opening episode of S2, not only for reactions from the greens but preparations for full blown war. Likewise Jace has to be prominently featured and I assume he will learn of his brother's death while he's in Winterfell negotiating with Cregan Stark.