How does pregnancy work in this game?
Once you capture a territory, the former queen (now referred to as a "wench") can either be given a position in your court or sent to the dungeon where you can ravish her. If you elected to allow her a court position she gives your empire a small unique bonus (like reducing army travel time by a turn), but you have to complete a small unique request (like constructing four buildings in her home territory) in order to be able to seduce her.
In either case, the chance of pregnancy is either 1/3 with the "random pregnancies" game rule on, or 100% with it off. If successful, in 20 turns you'll receive an announcement that the wench in pregnant and in another 20 turns she will give birth. You can visit her while she's visibly pregnant for a new repeatable sex scene. Some wenches have an additional one-time "Act 2" story event in which they'll either be visibly pregnant or have already given birth, which tends to be a topic of conversation. After giving the wenches a few turns to rest, you're free to attempt to breed them again, but in the current version I can't recall subsequent pregnancies providing any unique content.
In the current version, you can't interact with the children (unless they appear in a future one-time story event) and they don't provide any bonuses (other than your personal sense of pride and accomplishment) but they don't cost you anything either (no upkeep or risk of being captured) so feel free to breed to your heart's content.
There are also many women encountered during a territory's "infiltration quest", which is a longer one-time chain of story events that take place prior to capturing said territory. In almost, if not every case the scene(s) with these characters will at the very least mention the possibility of pregnancy. But other than a couple of exceptions, they won't return with you to your palace, so the only way to know if your seed took root is to hope they are featured in their respective wench's Act 2 event or they are lucky enough to have their own Act 2 event.
Suffice to say, the game has a strong focus on pregnancy and impregnation, and is a great option for anyone looking for such.