No, Lily Potter was not pregnant when she died.
Lily Potter, the mother of Harry Potter, died protecting her son from Lord Voldemort on October 31, 1981. This event occurred shortly after Harry's first birthday, and there is no indication in the Harry Potter books or movies that Lily was expecting another child.
Lily's death was a pivotal moment in the Harry Potter series, marking the beginning of Harry's journey as the "Boy Who Lived." Her sacrifice, along with her love for Harry, is what ultimately protected him from Lord Voldemort's killing curse.