Something has happened between them both emotionally and physically. We all know it, and I think you know it too, really. The fact he can look you in the eye and deny everything means nothing.
I think plans were afoot for him to be with her in NY, then something went awry. Most likely her discovering you are pregnant? She has ended it, and he was devastated hence the crying jag and the drinking.
Then he woke up, sobered up and realised he'd nearly given the game away and you were very (rightly) suspicious. So he quickly embarked on a swift damage limitation exercise. The NY dream has ended so he needs to quickly re-feather the nest at home. Cue him being uber helpful and nice (trying to put you off the scent, see).
But you don't give up that easily, and you press for more. So he changes tactics and drip feeds the smallest amount of information he thinks he can possibly get away with.
He's knows he's on thin ice and he's playing a dangerous game. What you want, and what will actuallyake you feel 'better' aren't important to him. He didn't care about you or your feelings when he was having a relationship with this woman, so why do you think he will care about you or your feelings now?
All he cares about is making things right for himself with as little hassle and grief as possible to 'him'. He will determinedly not reveal a single more iota of truth because he knows it will only lead to more grief for him.
Instead he's making a huge gamble banking on your pregnancy making you weaker and more vulnerable, and more inclined to let him off the book.
Which you can choose to do, of course. But this horrible, churning, anxious sensation you describe? You need to get used to it because it isn't going to go away. Every time he's late back from work, every time he's away on business, every time you watch him text, it will come back. Churning away.
You will never have peace of mind, if you let this pass. It will kill you by degrees and it will taint every day and tarnish every night. I have been on here for a very long time, and very sadly your story is as old as the hills and the ending never changes.
When he gets home he finds his bags packed and you insist he moves out. No excuses, no mercy, no consideration. After all, he hasn't shown you much has he? You play hardball with him and make him.u derstand that this just isn't about a token night's stay in a Premier Inn. This is about him only EVER being allowed back through the front door after total honesty and disclosure on his part. And only then will you decide.
You actually have all the power here. His NY dream has gone poof, so now he needs plan b to work, desperately. But I think you're worth more than being someone's plan b, don't you?
And there's every chance that if you let this slide, and accept being his plan b then in a year or two he'll spot another plan a, and off he'll trot anyway.
Showing him the door isn't 'throwing away your marriage'. The moment he embarked on an intimate relationship with her was the moment it stopped being 'your marriage'. He threw it away. All that is left is smoke screens and lies, and you can't build anything good out of those.