As a training director, I agree that you don't need to tell them now; however, after receiving an offer, you may want to discuss a start date prior to accepting a position. I know of quite a few sites that having such a late start date could be problematic (i.e., large gaps in care between you and the previous fellow, possibility of overlap with future fellow who then might not have an appropriate workload, etc.). It's possible they could make things work, but you don't want to start off on the wrong foot with your program if you accept a position and then tell them you can't start until later.
Edited to add: We would probably be able to make this work at my site, but it would take some extra work, so I would be really annoyed if someone accepted a position and then told me later on that they couldn't start until October. I know some might have a bias about this issue, but it also wouldn't bother me if an applicant was currently pregnant. And most importantly - congrats!