I doubt Sansa is pregnant. Remember the timeline is not consistent with real life, as in weeks and months pass between scenes so if she was pregnant I'd imagine she would be showing by now. She told Ramsey everything about him would disappear, all memory of the Bolton name would disappear. If she WAS pregnant I could see her naming the child Stark, but still. I don't think she's pregnant. I think he was more referring to the damage he's done to her mentally. Anyway, how would he even know if she was with child.