Cersei is lying about her pregnancy, one way or the other
If any woman on Game Of Thrones said she was pregnant no one would question it. But Cersei Lannister is not just any woman. Only a fool would take anything she says at face value, a lesson her brother Tyrion forgot when she promised to help fight the dead. It wasn’t the dumbest mistake he’s ever made though, because an expectant Cersei is the only Cersei he’d believe. The same goes for the other men in her life, which is why she’s probably lying about the whole thing.
Jaime was ready to surrender to Daenerys after the Loot Train Attack, and then Bronn tricked him into meeting with Tyrion, which Cersei already knew about. She let it happen, because as she told her brother a brief armistice with the Dragon Queen “could be in our immediate interests.” Daenerys had “the numbers,” and to beat her they “would have to be clever and fight her like father would have.” Mission accomplished so far. This was also when Cersei told Jaime she was pregnant with their child, and she would tell the whole world it was his. Jaime immediately got back on board with her plans after that, but as they hugged she also warned him, “Never betray me again.” Even though he clearly hadn’t, she made clear who was firmly in charge and what she expected of him.
The next person to learn Cersei was pregnant was Tyrion, when they met after the failed Dragonpit summit. Her refusal to accept a drink, the way she talked about securing the future for their family, and the subtle grabbing of her belly made him realize she was pregnant without her saying it. That’s why he believed she’d help fight the dead, but this deception was all part of her real plan. Euron Greyjoy had previously made a big show of leaving the Dragonpit and announcing he’d go home, but he was already heading to Essos to pick up the Golden Company. Cersei was never accepting an armistice, but for her lie to work she needed Tyrion to believe her, which he did completely. As he told Sansa at Winterfell, “She has something to live for now.” Letting him “know” she has a baby on the way the only way to do that. As he once said about his sister, she loves her children, which is “her one redeeming quality.”