Cersei did say that she is pregnant with her brother's baby, but I think she is lying. First of all, it appears that she is too old to become pregnant. Second, the queen may be lying in order to keep her brother close to her.
She needs her brother if she wants to survive in their dangerous world. Other viewers of Game of Thrones agree with this theory, while others believe Cersei really is pregnant. Some believe that her pregnancy will eventually lead to her own death, possibly during childbirth. Whether she is pregnant or not, we will soon find out.
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