During the early 3rd century, two women, Sts. Perpetua and Felicity, were martyred for being Christian, and a diary was reportedly left behind detailing their final days before execution in the arena.
This diary is known as the The Passion of the Holy Martyrs Perpetua and Felicity, and it explains that Felicity was pregnant while in prison awaiting her death sentence.
Felicity desired to join her friends in martyrdom and the whole group prayed to God that she would deliver her child early.
Because of this miraculous delivery in prison, St. Felicity became the patron saint of expectant mothers.