According to this article from the Coppermind, Returned can have children, but require special knowledge to do so. The only known Returned to do so was Vo, the first Returned. The problem is, Vo was the first Returned so nobody could have taught him how to have a child and he only lived for a week, so how did he have a child?
RAFO: we won't know till the sequel
If you follow the reference in the coppermind page you will go to the annotation by Sanderson.
It is possible for a Returned to have a child. Vo, the First Returned, did it. The God King isn’t special in that he can do it; any of the Returned could, but it requires some special knowledge that—I’m afraid—I’ll have to keep secret until the sequel. Suffice it to say that the priests know how it is done.
Annotation Warbreaker Chapter Forty-Four
So we don't know the method, we will know in the future. As to how did Vo found out (since there was not priesthood then), we can surely speculate he found out the old way, by trying. Without the years of indoctrination by the priest the Returned hold they would have no pre-conception against trying having a child, aquiring more breaths and so on.