There are at least three reasons why the girl doesn't want to have an abortion. In the first place, it is natural and instinctive for a woman to want to have a baby. If she is pregnant, then it is natural and instinctive for her to want to keep the baby. In the second place, she knows it is dangerous in spite of what the man keeps telling her. In the third place, she knows it is morally wrong, it is like murder. In the fourth place, she knows it is against the law and that they will have to go through a sordid, furtive process in some sinister setting with a man or woman who may know very little about performing such operations. In the fifth place, she is tired of traveling around looking at things and trying new drinks. She would like to settle down and have a family. She thinks that a baby would strengthen her relationship with the American. In the sixth place, she believes that their conspiracy to abort the baby would undermine their relationship. Their love would never be the same, because the outcome of their love-making ended in such an ugly way. The most important reason for the girl not wanting an abortion is that women naturally and instinctively want to have babies. They are genetically programmed to want babies. Perhaps she got pregnant accidentally on purpose? There are other reasons why she would not want an abortion. She may be a Catholic, as other answerers have suggested. She may be afraid of such an invasive operation. She may be already bonded to the fetus and thinks of him or her as a real person.
As far as the man's reasons and feelings are concerned, his main objection of having a baby is that he doesn't want to get tied down. They do not necessarily have much money. If he is anything like Hemingway in the twenties, he has very little money but can live cheaply in Europe because the exchange rate is so favorable. Having a baby would be a great expense. They would have to settle down. He would have to get a job. He doesn't like the prospect of going to work every day and returning to a little apartment and living a constricted domestic life. He is an adventurer, not a clerical type. He would most likely have to go back to America in order to get a job. After all, the exchange rate is favorable to Americans because conditions are so bad in Europe. There is nothing very unusual about a young man not wanting to become a father. All of a sudden, instead of only having to support himself, he is faced with having to support three people--himself, his wife, and a baby. Perhaps he realizes that one baby is only the beginning. If he accepts the role of father and breadwinner, another baby may soon follow--as it so often does. He may have to take a job he dislikes, and he may get stuck in that type of work and be unable to fulfill his dream of doing whatever he hopes to do. He obviously feels guilty for being so selfish, but he knows that if he acts unselfishly he will have to pay a high price for his generosity.