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Don't require your BMs to wear matching shoes. It's unnecessary and it's lame, and nobody will give a hoot what shoes they're wearing. Specify a color and ask that they wear dress shoes, and then wash your hands of it. Shoes are NOT something worth arguing about, so if you relax the matching shoes requirement then you will eliminate this issue. Yes, you or your FI should talk to her and explain that attendants are expected to pay for their own attire. However, you also need to ask her (and all the other BMs), "What can you afford to spend on a dress?" BEFORE you pick something out, so that you can select something in her price range. It is unfair to just choose something and assume that they can all afford it. If she's going to be pregnant, then just let her select a black knee-length maternity dress. She can get it off the rack about two weeks before your wedding. Easy peasy. Pretty much all black dresses look the same anyway - and if someone happens to notice a difference, they will just chalk it up to her being pregnant. The world will not end if your BMs aren't perfectly matched. (And don't require matching hairdos, either, in case you're thinking of this.)
If you and FI want to talk to her and ask if she'd be happier as HIS attendant, go ahead. I don't see why her attire as a groomswoman was an issue in the first place, but here's your answer - she can just select her own black dress. She's happy, and you don't have to deal with her. Done deal.
I hate to say this because I don't know her or you, but it sounds like she is trying to talk her way out of being in the WP at all. Perhaps she resents being put on your side of the WP, because she isn't close to you, as your WP members should be. If she is as you say, she probably dreads having to hang out with the ladies when she is more comfortable with the guys. To her, being a BM is not an honor because she is not interested in being one. She can still wear the same black dress on the groom's side and be much happier with the people she knows and loves. And at 8 months pregnant, I know I'd be way more comfy in flats than any kind of heels.
Um ... everything that everybody else has said aside: she said she's only trying to concieve, not that she actually has done so.Considering that you shouldn't be worrying about what the BMs wear until like 6 months out, maybe you should wait until you know for sure that's she's pregnant before you stress about it.