Ok I'm gonna go out on a limb here. I found a very interesting plot explanation here that I really think you should read. For the sake of brevity however, I'm going to only pull out the essentials to answer your question.
1 - The movie is not shown in chronological order
The author of the article claims that the movie is shown in a different order than how events actually occurred and that the first event is the car crash. This car crash occurs 6 months before all the other events of the movie and is the cause of
- The scar on the chest
- The split personality
- Helen finding out about "that other woman"
- Anthony stops being an actor and starts living the life of Adam, his split personality as a history teacher
2 - Helen is not 6 months pregnant
When Helen meets up with Adam she tells him she is 6 months pregnant but this is only a reference to the fact that Anthony was in the car crash 6 months ago
I need to add that this is my own interpretation. She meets up with Anthony who is currently in the mindset of Adam and asks her how far along she is. It is possible that she really is 6 months pregnant but let me explain why I don't think she is...
3 - Helen realizes Anthony is actually Adam when he visits her at the end
Helen knows her husband is not doing well psychologically. She has discovered he has a split identity as Adam. When Adam visits her at the end, when supposedly Anthony is on holiday with Mary, he asks her if she needs anything
He says that he might think she needed something after being in the
pool and you know because she’s 6 months pregnant, and here at this
point the light goes on in Helen’s head and she starts to realize the
husband is being different again, so she is going to put it on a test
by saying “Come to bed”.
And there you have it. I think that she only told him she was 6 months pregnant when she met him for the first time as Adam, which is why she was tipped off to him later after he mentioned her being 6 months pregnant. I could be wrong, in which case the fact that she is 6 months pregnant is indeed either a coincidence or simply a convenient clue to point to the truth about the chronology of events.