In the last scene of True Detective episode S02E08, Jordan Semyon and detective Ani Bezzerides have a baby. Where did this baby come from? Jordan wanted a baby, did she adopt a baby? Or is this baby from detective Ray Velcoro and Ani?
The baby is the son of Bezzerides and Velcoro.
I did not watch the show till last episode, but according to wikipedia,
In Venezuela, Bezzerides is revealed to have given birth to Velcoro's second son and is living with Jordan Semyon.
Here is the link
Ankit’s answer is correct, the baby’s parents are Bezzerides and Velcoro. This is also implied in the series:
Shortly before we see the baby for the first time, Bezzerides is talking to a journalist. She says:
I owe his sons that.
His sons, not son. Velcoro had only one child (as far as we know), and in the course of the series he has only slept with Bezzerides (as far as we know).