Lou, the reason he seems more 'loyal' to her than to you right now is that she is still stroking hie ego the way he wants it stroked. He is still in the phase of the relationship where he is love bombing her and has put her on a pedestal because he has projected onto her the ability to respond to him, to want him, to feed his massive ego needs. She is not a real person yet to him.
'His loyalty is worthless' exactly. It is skin deep. He is loyal to the OW partly in order to save face here too. He has managed to completely exit from your life, and he knows you know what a turd he is, and by this stage he knows his parents and family are in on it too, but his ego can't contemplate having the OW know him as you do just yet this would be too much of a failure of his cleverness for him to deal with. She will eventually see him for what he is, but he will be ready to devalue her when that time comes. He will have chewed her up and he will be ready to spit her out, wipe her from the sole of his shoe -- choose whatever metaphor you want.
As her pregnancy advances and she pays more and more attention to herself and her baby (this will happen especially after the baby is born and she simply won't have the energy to baby him as well as the real baby) she will suddenly become unbearably real to him, i.e., it will become clear to him that she doesn't understand she was put on this earth to exist purely for him, he will devalue her just as he has completely devalued you.
When he blithely told you your pregnancy was an inconvenience, and told you he had also pressured the OW to abort, he showed you his true nature. Dealing with the complete devaluation that psychopaths, sociopaths and narcissists predictably dish out is incredibly hard. It is like being stabbed in the heart with an ice pick.
His game is dominance. Engaging with him means reinforcing his feeling that he is winning. Indifference and radio silence is the only way to deal with him. It is incredibly hard to pick yourself up from where he left you and move on as if he had been a ship passing in the night, but the only way to retain sanity is to trust the healing property of time, and to do only what is right for you with no regard for him, no second guessing of how he might react if you did this, or that, or the other. He has left your life. It is both an unimaginable hurt and a huge opportunity all at the same time
A good, experienced solicitor can help you focus on the cold, hard, legal and financial facts and not on the emotional end of it all staying there in that emotional morass where your mind comes face to face with the scale of the duplicity and is unable to take in the deviance means the psycho wins. Included in focusing on him and what he has done is focus on the OW and all the questions swirling around. It is a struggle and very wrenching to see your life reduced to the legalese of a divorce petition (and especially to read the garbage that will come back from his end in response) to see your love and your hopes for the future encapsulated in dates of marriage or cohabitation, your address, how much is owed on the mortgage but in a way it can be cathartic to see it all stripped bare, down to the nuts and bolts.
Deal with the emotional fallout by doing exactly what you are doing you are going to work, you are maintaining your good relationships with your colleagues, your parents and others who are normal and decent. You are trying to make a decision about the baby please do this without regard to him, without regard for the what ifs as 3Kids said earlier, and try to trust that there are honest, normal people just like you out there in vast numbers they far outnumber the deviants and that this world is a good place.
Integrity and honesty and decency are always the right way to conduct yourself even if there is no immediately visible payoff. That is the one insight you and other normal people have that your deviant H will never comprehend. Living like that will ensure that you escape from his clutches.