Is there anyone in the town with the same last name? Maybe it's someone else's baby? I can't remember offhand, I haven't played console for a while, but there should be a family tree somewhere that you can check if the baby is in fact in your family. When a sim is pregnant, you have to pick maternity clothes, which comes up on the screen the same as Create a Sim, so I doubt you would have missed a pregnancy. I have never seen a baby appear in the relationship panel before it was born, though.