You are dealing with a whole mess of issues.
The first being why do you love someone who cheats?
Does he know you are pregnant? That's a whole other mess entirely.
However, I think what you really want to hear is that he should choose you over her. If he hasn't done it already, I'm not sure that he ever will.
My advice is to tell him straight out. If you don't, you may regret it. You may not get the response you want, but remember that it will all work out for the better in the long run regardless. Good luck!