Hi J.,
Congrats on your future niece or nephew!
I agree with the person that posted that your brother, their uncle and the father to be, should share the joyful announcement. Afterward, if you would like to express that their decision to have a child before getting married (or without getting married at all) is against your values, you can simply say that people do things differently and you would like in the future, if your kids have children, to decide to do it the way you yourselves did it (I presume): first finding the person you want to commit your life to, get married, then have children.
I lived with my now-husband for a year before marrying him, at the time we hadn't any intention to marry; and this was not in accordance with the way our family has done things up to that time. My sister had to explain that to my nephews, and she did it completely non-judgmentally, which I appreciated. Otherwise it might have tainted my nephews' feelings toward me and my now-husband. It's something to consider. The new baby is your flesh and blood and completely innocent of any actions that your brother and his girlfriend are carrying out and your feelings about them.