Can someone explain the pregnancy thing?

I think it's a followup to the protagonist's voiceover monologue early in the film (right after the first dominatrix beats the crap out of him) when he says, "People tend to divide things into two categories and then decide which group they belong to. It gives them an identity and a sense of security. Well, that's what I do, and it helps me feel alive."

The inference is that he's divided people into dominants and submissives and has identified as a submissive. But in the end, as explained by the Bondage club manager, he becomes a sadist through being submissive. He is thus freed from the self-imposed restriction of belonging to one category or the other. His pregnancy sums this up metaphorically: he is both male and female, and doesn't merely feel alive but is bursting with life.

It's a concept many people would reject as nonsense. They might even go so far as to say, "Even if I lived to 100 I'd never believe that!" But then the older you get, the less things appear black and white. R100.