Just logged in for the first time in years for this thread as I've got an alternative perspective.
My partner had a a surpise baby 10 months into our relationship (yes that means I'm male on Mumsnet). I was 24 and she was 27, I'd just come back from a weeks holiday. Got back on the Sunday night about midnight, spoke to my partner on the phone, and then couldn't get hold of her the next day. Went to the pub after work, and got a call from my DPs sister to say that DP had had a baby that morning.
It took DP about 2 days to come to terms with the situation, for the first couple of days DD was "it" to her and adoption was discussed. The midwives and nurses were fantastic though, and DP and DD weren't allowed out of hospital until they'd bonded a bit. After getting home (DPs parents) adoption was discussed a few more times but within a week that had completely gone out the window and we were a little family.
I had no idea DP was pregnant, she gained a little bit of weight but then so had I, and so do most people in new relationships. There was no baby bump, DP didn't get any morning sickness and due to the position of DD and placenta didn't feel any kicking/movement. Periods had been light due to contraception, and it wasnt rare for DP to miss the occasional one, so with the occasional breakthrough bleeding that she was getting everything seemed normal there.
DP maintained that she had no idea until she went into labour, and it took a few years for her to admit to me that she'd taken a pregnancy test while I was on holiday, howeverit came back negative, and had it come back positive she'd have had no idea how far along she was.
OP, it looks like you've taken on board the advice of other posters and thats great. Your niece is going to need a lot of support over the next few months, shes just had a massive life change. At the same time she's likely to be feeling a huge amount of embarressment, shame and guilt. Everyone else seems to get this pregnancy thing right, and instead she's had no idea, probably been out drinking throughout pregnancy. She's essentially missed out on part of motherhood, thats going to be hard for her. Be there for her, listen if she wants to talk about it, but don't push, don't point out inconsistancies in her story, and don't be surprised if it changes slightly over time.
For our part, DD is now approaching 10yo, me and DP are still together, and life is generally good. Neither of us wanted kids, however neither of us can now see our lives any other way. Our DD is very much loved, and while she doesn't know this story yet, we will be giving her an edited version of it in the next year or so.
Because we've been quite open about the above, we've had a number of other people speak to us about similar experiences. The details are different, sometimes theres denial involved, sometimes people genuinely didn't know until going into labour. It's definately a lot more common than most people think though.