The Didn't Know I Was Pregnant scenario did happen in the first season of Mad Men, in the final ep. The second season shows the character's married sister is raising the baby, and shows the sister as pregnant (or possibly "pregnant") in flashbacks, but it never quite spells out whether the sister actually lost a baby at just the right time to take in her nephew or was just faking it so she could take in her nephew and save her sister's reputation.