Since you're encouraging speculation...
I'm not aware of this happening in canon, but I suspect that they would remove the fetus and place it in a maturation chamber immediately. The main benefit is that pregnant people undergo a lot of physiological changes as they progress, and those changes may impair their ability to function. I'm particularly imagining an assimilated human woman with a nine-month-old baby bump trying to operate a cube.
I have no doubt that the Borg could adapt to those changes, but they tend to prefer more economical options, up to and including killing drones rather than waste time and energy repairing them.
Extracting a fetus and placing it in a maturation chamber requires a one-time expenditure of resources to properly calibrate the tank, rather than a constant stream of resources for the remainder of the pregnancy.
Another factor to consider is that Borg mature rapidly in maturation tanks. So by removing it, they can skip the gestational period. While that's admittedly only nine months in humans, it may be different for other species.