One morning Lucy is getting ready to go to the doctor because she's been feeling really "dauncy," which is a made up word by her grandmother for when you're not sick but just feel lousy. Also Lucy has been putting on a bit of weight. Ethel assumes that Lucy is pregnant but Lucy thinks that is very silly because she and Ricky have been married 11 years. When Lucy comes back from the doctor she breaks the news to Ethel--she is pregnant. The girls are so excited and Lucy wants to tell Ricky the news the way she's always dreamed of.
When Ricky comes home for lunch Lucy tries to break the news, but he's too preoccupied with work to listen to her, and then Fred and Ethel come over and Ricky chats with Fred about what a bad week it's been at the club. By the time the Mertzes leave Ricky has to leave as well. Lucy tries to go down to the club during Ricky's rehearsal but there is still a lot going on and when she finally gets a chance to tell Ricky he tells everyone to quiet down but Lucy is too embarrassed to say it in front of everyone.
That night during Ricky's show, Lucy comes to the club and slips the maitre 'd an anonymous note and he gives it to Ricky to read. The note is about how someone in the audience just found out she's pregnant and wants to break the news to her husband by having Ricky sing "We're having a baby my baby and me." The band plays "Rock-a-bye Baby" as Ricky sings and goes from table to table to see who the woman was that gave him the note. He gets to Lucy's table and Lucy nods and Ricky walks on but then looks back at her as she nods again. Ricky runs to the table to confirm the news and he is ecstatic. He promenades Lucy around as he sings "We're having a baby my baby and me" and kisses her tenderly at the end.