I think what is meant by the sentence is something like:
We think pregnancy always happens naturally. So we are confused/puzzled when something goes wrong, 'cause we had never thought that something could go wrong with it...
Or:
We think that having a baby is a part a natural plan (or "a part of a life plan"), and it never occurs to us that this plan can be ruined...
Sorry if my paraphrasing is wordy... But I hope it is of some help
Good luck