In this interview the actor who plays Ramsay (Iwan Rheon) refers to that line as meaning the lasting psychological damage that he's caused Sansa:
I think [the final scene with Ramsay and Sansa] was great. It’s a good scene. It leaves Sansa in an interesting place as a character, because he’s saying, “I’m inside you now.” [Rheon shudders] It’s horrible, and I think he probably has done some damage. He’s gotten in her head. But I think it’s nice too, because it’s such a great scene to go out on.
Of course, it's possible it means something more - the showrunners don't tell the actors about every twist that's coming up. For example, Iwan didn't know Ramsay was going to die this season until he'd already worked through the first five scripts:
I had received half the scripts, five episodes, then I got the call. They joked, “Isn’t it great Ramsay ends up on the Iron Throne?” As soon as they said that I said, “He’s dead isn’t he?”
...but there's a big problem with the idea that it might mean she was pregnant: how would Ramsay know, if Sansa doesn't? Biologically speaking, it doesn't make much sense. Sansa will probably be aware and afraid that it's possibile, but Ramsay couldn't know beyond guessing. At most, he's sadistically alluding to the possibility - not imparting factual information.
More likely, this line is Ramsay twisting the knife, using the most unsettling choice of words he can to taunt Sansa with the fact he's changed her for the worse. This matches how Iwan describes it.
In another interview, Sophie Turner (Sansa) doesn't mention that line directly but echoes this interpretation of the scene overall:
...with Ramsay... He just gets under her skin, and he violated her in such a terrible way. He’s imprinted on her, mentally and physically. She can never get that part of her back again.
Off-topic random fact - while finding these quotes I discovered that Iwan Rheon auditioned to play Jon Snow and got down to the final two. That would have been a very different show!