Tuhin

That second link was supposed to be https://travel.state.gov/content/travel/en/international-travel/while-abroad/birth-abroad.html, sorry.

Assuming you qualify to pass citizenship to your child (i.e. you have been in the US for at least 5 years, 2 of which are after age 14. See https://www.uscis.gov/us-citizenship/citizenship-through-parents for more detail), then...
 
You will need to apply for a CRBA and passport for the child (once born). No need to inform NVC before the birth. Once the child is born, if the case is still at NVC, then you can let them know to update the I-130. Otherwise, the CO can update it at the embassy.
https://www.uscis.gov/us-citizenship/citizenship-through-parents

No need to tell the NVC anything. Pregnancy is not a reason for your case to be handled any differently. And if your wife is 9 months pregnant now she won’t be flying anywhere. Or is she coming here by land?