There are some people who genuinely can't imagine that anyone could possibly not enjoy the same things as them. If they would love a baby shower, then everyone would. If they would enjoy a big party, or a day at the races, or hiring a big limo for a hen do, or anything of a million other things, then they genuinely can't comprehend you mean it when you say you don't want that thing.
They often think the bit you'd hate is the organising, or spending your money on it, or they think you'd secretly like it but don't want to seem grabby, or while you think you'll hate it, you'll actually enjoy it once you get there... They just can't accept that someone could not like something they do.
It does sound like your friend who organised this baby shower is like this. It's very hard to get through to people like this because they think they are doing a nice thing, and can't see that if you would hate it, it's not a nice thing to do. Hinting or politeness rarely works - you have to be brutally honest.
Alternatively, she's the sort who wants to be seen to be a good friend rather than trying to be a good friend. So even though she does accept you'd hate a baby shower and the previous MC/supersition about gifts for a baby that's not safely here yet, her need to be seen to be a kind friend is more important than your feelings. If shes one of these people, she doesn't really care about your feelings, and wasn't actually trying to do a nice thing for you, it was an ego boost for her.
She's your friend, so you'll probably know which of the above type she is. If it's the first, then you have to spell it out to her that other people have different opinions and like different things to her, and she needs to stop and think about what other people will like, not just what would she like.
If she's the second type, just start exiting her from your life, she's just using you as a supporting act to her staring role.