I believe that O. Henry initially intended to draw a closer analogy between the Youngs and the story of the birth of Jesus in the New Testament. Jim and Della Young can hardly be compared with the Magi in the Bible. The Three Kings, as they are also called in the New Testament, brought gifts to the baby Jesus. O. Henry gives a very interesting hint that the common denominator between the two stories is a baby. Here is the one significant sentence:
Poor fellow, he was only twenty-two--and to be burdened with a family!
This is Della thinking to herself. She does not think he is burdened with a wife but to be burdened with a family. This seems to suggest plainly that Della is pregnant. It also seems to imply that she has not yet told Jim about it. It should hardly come as a surprise that Della is expecting a baby, what with all the hugging and kissing that goes on in their flat.
O. Henry apparently intended to equate Della's as yet unborn baby with the baby in the New Testament who was born in a manger inside a stable. But he must have realized that he would be risking offending a great many readers who believed that Mary was a virgin and that Jesus was the son of God. Some readers might even get the idea that the author was implying that Della's baby would be the long-awaited second coming of Christ.
The sentence quoted above is interesting in its construction. Della thinks, "...and to be burdened with a family!" In other words, Jim is going to be burdened but he is not burdened yet. Della is pregnant. Jim probably doesn't know it because she is reluctant to tell him. (These things happen.) She obviously doesn't have the baby yet, because she is able to go rushing out of the flat to sell her hair.
With a whirl of skirts and with the brilliant sparkle still in her eyes, she fluttered out the door and down the stairs to the street.
Many people have asked questions about how the story of the Magi applies to the story of Jim and Della Young. In its final form it does not apply to them very suitably. They are poor, while the Magi were all kings and were able to bring the baby luxury gifts which included gold. The Magi did not give gifts to each other, as Jim and Della do. The Magi did not have to make any sacrifices to raise money. It would appear that there is a hidden secret in this story. O. Henry started out to draw an analogy between a contemporary young couple who were going to have a baby and a couple named Joseph and Mary who had to spend the night in a stable because there was no room at the inn. What the two couples have in common is that they are both poor.
O. Henry had to be content with suggesting that the gift of the Magi was Jim and Della's spiritual enlightenment with the realization that their love for each other was more important than any material possessions. Della is terribly afraid that Jim will cease to love her because she looks so strange without her beautiful hair. She needs his love at this time in particular. She is not unlike many young wives who find themselves pregnant and are afraid to break the news to their young husbands because they don't know how their men will react. Della's anxiety throughout the story, as well as her strong motivation to please her husband, is probably more attributable to her unrevealed pregnancy than to any strong desire to buy him a nice Christmas present.