If any woman on Game Of Thrones said she was pregnant no one would question it. But Cersei Lannister is not just any woman. Only a fool would take anything she says at face value, a lesson her brother Tyrion forgot when she promised to help fight the dead. It wasn’t the dumbest mistake he’s ever made though, because an expectant Cersei is the only Cersei he’d believe. The same goes for the other men in her life, which is why she’s probably lying about the whole thing.
Jaime was ready to surrender to Daenerys after the Loot Train Attack, and then Bronn tricked him into meeting with Tyrion, which Cersei already knew about. She let it happen, because as she told her brother a brief armistice with the Dragon Queen “could be in our immediate interests.” Daenerys had “the numbers,” and to beat her they “would have to be clever and fight her like father would have.” Mission accomplished so far. This was also when Cersei told Jaime she was pregnant with their child, and she would tell the whole world it was his. Jaime immediately got back on board with her plans after that, but as they hugged she also warned him, “Never betray me again.” Even though he clearly hadn’t, she made clear who was firmly in charge and what she expected of him.
The next person to learn Cersei was pregnant was Tyrion, when they met after the failed Dragonpit summit. Her refusal to accept a drink, the way she talked about securing the future for their family, and the subtle grabbing of her belly made him realize she was pregnant without her saying it. That’s why he believed she’d help fight the dead, but this deception was all part of her real plan. Euron Greyjoy had previously made a big show of leaving the Dragonpit and announcing he’d go home, but he was already heading to Essos to pick up the Golden Company. Cersei was never accepting an armistice, but for her lie to work she needed Tyrion to believe her, which he did completely. As he told Sansa at Winterfell, “She has something to live for now.” Letting him “know” she has a baby on the way the only way to do that. As he once said about his sister, she loves her children, which is “her one redeeming quality.”
The one thing that could get both of her brothers to do exactly what she wanted was a pregnancy, which is how she’s now going to keep the untrustworthy Euron Greyjoy from betraying her. She clearly loathes him, but she desperately needs him and the Iron Fleet to preserve her reign. The safest way to keep him in line and keep him from leaving (like he told his niece Yara he might) is to tell him she is carrying their son, the future king. That guarantees his devotion— along with plenty of time to win the Last War and kill Euron.
Of course, there’s a chance she actually is pregnant with Jaime’s child, and her only fib was telling Euron it’s his. As Jaime said to Tyrion, “She’s always been good at using the truth to tell lies,” and the woman who blew up the Sept of Baelor wouldn’t be above using her unborn child to deceive others to win a war. Her pregnancy could be a happy coincidence she is taking full advantage of, but even beyond how devious she is there’s another reason to doubt her.
After “The Long Night” the show clearly isn’t as invested in prophecy as we thought, but the one Cersei heard as a child was important enough it’s the only pure flashback the series has ever done. (Bran’s visions are different.) Maggy the Frog, whose fortunes have all proven true so far, told Cersei she’d have three children. “Gold will be their crowns,” she warned, “Gold their shrouds,” and so it came to pass. Maggy also foretold a “younger, more beautiful” queen would cast Cersei down, which has long driven Cersei’s paranoia. It’s why she viewed Margaery as such a threat. If any prophecy on this show, one Cersei takes seriously herself, still means something, it’s this one, and Maggy left no room for another child.
But the most obvious evidence comes from the person who knows Cersei better than anyone, the man most convinced she’s telling the truth and currently on his way to King’s Landing to either save her or die with her, Jaime. He’s positive she’s pregnant, but when he told Tyrion that he also said something that reveals how blind he can be when it comes to his sister, a woman had sent Bronn to kill him.
“I wouldn’t be too hard on yourself,” Jaime said trying to cheer him Tyrion after learned he’d been outsmarted by Cersei, “She’s fooled me more than anybody.”