Who would want to believe that a pregnant woman could carry out a brutal murder by bludgeoning her own husband, the father of her unborn child? In addition, the police in the story have sympathy for her, as she is a pregnant widow who just lost her provider and husband, so she is not a natural suspect. In general society carries a stereotype of pregnant women as defenseless and in need of protection, a stereotype that goes back perhaps to the dawn of man.
We also get the idea, though it is mostly unspoken, that the police detectives automatically believe they are looking for a male perpetrator, a bias that does exist in real crime investigations, as the statistics of female murderers are much lower than that of males.
Lastly, the reader is shocked by the murder by Mary, who we also assume to be innocent and the victim from the opening scene. We assume her husband is leaving her for another woman, though it is never stated specifically. And lastly, Mary fills the stereotypical traditional role of a wife, taking his coat, keeping the house clean and fixing his dinner.