Back in the 50s, people were not against smoking as they are today. Smoking around pregnant women or pregnant women smoking was not uncommon in the 50's.
Ethel: (dressed as a man) How did you see through my disguise?
Fred: What disguise?
In this episode, Lucy is reading a McCall's magazine. There is a large picture of a baby on the cover and the caption next to the picture clearly reads I LOVE LUCY.