Daisy - I haven't posted in a couple of days, even though I've been reading as I felt quite strongly about what you should do, but didn't want to say so. However, nothing he has said or done over the past couple of days has made me think any differently.
I agree with those saying he isn't being open & honest with you. Not about whatever his 'fantasy' is, but about what he has been doing to meet that need.
He is saying he wants to get married, have this baby, move forward etc - but he just wants the 'ideal' set up - he doesn't want the reality of it with a real person. He wants the make believe, the 'show'.
IF he really loved you and valued you he would not be putting you through this shit. He would not be talking about 'trails' and 'suspicions' - he would be doing everything he could to show you 'him' - not just wanting to 'move forward'.
A decent bloke would want you to feel secure, safe & loved - not insecure and 'baited'.
He is trying to head you off at the pass and make you move past this - he is not trying to get to the bottom of it and reconcile it - thereby laying a stable ground for your relationship. He's merely trying to paper over the cracks and 'move forward'.
I know you have a lot to risk here and I know it's far easier to say than do, but I honestly believe that if you continue with this relationship your life will be one long thread like this :(
About your pregnancy. I think that you have to make your mind up about it. IMO you can't terminate (or maintain) the pregnancy based on the state of your relationship with him. Between now and when the baby would be due is not long enough to establish whether this relationship is going to work or not. You have to make your decision based on what you would do if this relationship was to break down. It hurts me to say that, because I think if you do that you will have the termination and it's not something I would want to head you towards, it's not something I myself could or would do. However, it's not my pregnancy and not my decision and I feel that in this situation you really must consider that you may end up bringing this child up (with your other two) on your own irrespective of what happens in the next few days.
What would he say & want to do if you had a termination?