I have not even thought of the second variant (pregnant) because it says pregant. Nevertheless, it is a nice idiom. I suppose it is used in humorous way!
The UE definition is 'If a woman has a bun in the oven, she is pregnant'. But one of the other possibilities is also a euphemism for 'pregnant'. So if you said 'in trouble' Mad-ox, you were right.
"Up the duff" is in some way linked to that phrase too. Don't ask me how. Something to do with duff pudding, which I've never even heard of.
This shows the way 'dough' is linked to the pronunciations for 'rough' and 'tough'. I don't know the details of the link, but I know there is one. It might have something to do with the Great Vowel Shift, though I doubt it.... More likely, it's just one of the accidents of standardization, when different dialectal pronunciations were fixed in one standard spelling - leading, in the case of 'ough', to numerous phonological possibilities. (In fact, there are so many that it's impossible to say which one is the rule and which the exception.)
PS Somewhere I've got the basis of a Happy Families card game based on the many* 'ough' pronunciations (1 fewer in American English, which puts 'thorough' in the same family as 'dough'). If any teacher's interested, I can look it out later today.
Cut into 32 cards, to make 8 families: bough/plough/bow/thou dough/doe/so/sew through/threw/zoo/sue bow/tow/so/though tough/enough/cuff/rough cough/trough/off/toffee borough/thorough/utter/colour court/sort/caught/thought. You might want to blow them up a bit, and laminate them.