When Mike and Molly are having difficulty getting pregnant, Peggy describes the long process of getting pregnant and almost leaving Mike's father because of it. When Peggy and Molly began writing their book and they are looking at wedding photos, she tells Molly that she was pregnant on her wedding day. It us assumed that she is pregnant with Mike as a failed pregnancy is never mentioned.
Peggy states she was pregnant in her wedding pictures. But, in a previous storyline ("Mike the Tease") when Mike & Molly were trying to get pregnant. She told Mike how much trouble she had getting pregnant. That she was about to leave him, but she finally got pregnant.