Oh geez, where to begin...
From a gameplay perspective, pregnancy fetish ticks off a lot of flags in the happy chemical part of your brain. Psychologists who analyze gaming and its habit formation on people would probably comment something along the lines of pregnancy being a flag that releases dopamine, much like an achievement in other video games. It is a tangible goalpost which can be achieved.
Like many of the posters above, there's the primal aspects of procreation, progeny, and being a doge marking his territory. There are elements of consequence, the allure of the forbidden. It's also something that conveys a real lasting effect of your choices in game, or, a reward to make your choices feel like they matter.
There's also the thrill of the process of attaining the pregnancy fetish in games, which I think, has a large impact on the delivery of a successful fetish satisfaction. In some games, you blow your load once, and people get the baby bump, but in other games, which have a way of really satisfying the player at an emotional level, they will play on things such as tension, risk, or other darker emotions.
Basically, pregnancy is a natural fetish, because imagine yourself being extremely tense (either in a cheating or forbidden relationship). If that's what you're fapping to, you're probably moments from release, so it takes a lot of muscle discipline to prevent yourself from blowing your wad. Good games will a lot of times build up the tension, then find some unexpected (or naturally progressed) means of exploding the tension. That explosion will also a lot of times naturally coincide with the in game character (with whom the player has developed an empathic connection to) to also lose their muscle discipline. Usually their dicks happen to be in snatches, and so the end result is a natural progression of creme stuffing baby batter into the oven.
On the darker side of things, sometimes due to real life or work, players just want to vent their frustrations into their games. Fanfare for the entry of wapey games thus ensues. In those games, the preggerization prime directive takes hold in great force when there is the frustration/revenge payoff.
You might notice that there aren't a lot of games that are written for the true psychopathic/sociopathic individual. Even in games where there is sadistic intent (of which it seems there are increasingly little), a lot of times, the writing seeks to justify that intent, through either some sleight or wrong the protagonist has experienced. Other rapey games don't bother putting in the effort for layering the characters, and the nonconsensual intercourse ends up being kind of a cursory experience that doesn't invest much player emotion into it. (For example, consider how many games people play through the rape of the female protagonist for the h-scene, without really caring afterwards.)
Point being though, that when you're playing the darker emotions, there is a certain fetish of vengeance fulfillment, or the cathartic expunging of frustration, violence, and making an irrational impact on a fictional world.
If you combine these with the fact that all consequences in the game are only that-- in the game, you can separate out the concept of impregnation with the real world consequences (which are usually the ones that prevent people in the real world from having unprotected sex like rabbits). Basically, games provide all the emotional/psychological payoff and fun of impregnation without all the negative costs and real world consequences of dealing with it.
In that respect, it's a lot like incest as a fetish. Incest, in the real world, carries consequences of social and genetic stigma, if not criminal ones. But, in a game, it's all fine and dandy spank bank material.
