hi, they will be sending him to catterick as it is one of the main psych wards the military has in uk i think. dont worry though. as other posters have said they will want to evaluate him to make sure he isnt trying it on. bad i know but some people do.
my DH is in the army and got diagnosed with depression just after i had our DS. he was suicidal and ended up staying in a psych hospital for 2 weeks. this was at the beginning of 06. he has been on ADs since then and was off work sick at home for nearly a year and then went back in to work gradually. although at first he wanted a medical discharge we were told it wouldnt be as easy as we thought to get one. he is now back in work as normal, still on ADs but he is looking forward to his future in the army, we are expected DD in dec and although its not been an easy year or so for us (i had PND too) we got through it.
from my experience it is unlikely they will want to get rid of him unless he is seriously suffering from PTSD or something. they mainly want to help the men get better and carry on with their career.
you could try phoning SSAFA helpline, the hive should have their number or even try to speak to a CPN from your stations med centre who will be able to explain the process abit better.
try and be strong for yourself as its important to look after you and the baby. it might sound harsh but you have to put yourselves first so you dont end up suffereing with all the pressure. the navy will be there to look after your DH and you will probably need someone to talk to while he is ill to help you aswell.
hope this has helped, i know what your going through having been there