I think whether or not there's anything 'wrong' with it depends on the circumstances. Were you bought up together as children? If you were then I would find it a bit strange, but that's just me, there's nothing illegal about it. If however you were both grown up when you met and became step siblings then no, I wouldn't find that particularly strange, like you say, it's not as if you live together as family or anything.
However, if she is finding it strange you have to respect that. I can understand why a new child on the way might make her reconsider a relationship with you. Though nothing would really change in the dynamics of your own relationship you would both share a blood relative in the child. Your girlfriend may be concerned with the child growing up and wondering why it's brother and sister are in a relationship. If you don't have a problem with it then good for you, but as much as you are alllowed not to have a problem with it, she is allowed to have a problem with it.
It's a very tricky situation, I hope you manage to resolve it either way.