We can't know for sure if Grace told Delphin that she was pregnant with his child; we can only speculate. However, if we look at the prevailing social conventions at that time, it's highly unlikely that Grace would've let on. In those days sex outside marriage was considered taboo, and so Grace would have been anxious not to reveal her sordid little secret.
At the same time, the prevailing double standard held that it was acceptable for upper-class men like Delphin to engage in sexual activity outside marriage—so long as they kept it quiet. So if Grace didn't tell Delphin about her pregnancy—which seems likely—then she would have been motivated by the need to protect both their reputations from any ensuing scandal. It's telling that Grace got married not long after her brief affair with Delphin. This would appear to suggest that she wanted to pass off Delphin's child as another man's in order to avoid the merest whiff of scandal.