Cersei Lannister, played by Lena Headey, finally got her death in episode 5, dying in the arms of her brother Jaime Lannister. Fans, however, kept scratching their heads regarding whether Cersei was actually pregnant or not.
A bunch of Fan Theorists has guessed that it was a political ploy and she wasn’t really pregnant. She used her ‘pregnancy’ to manipulate Euron and she could’ve easily used it on Jaimie as well. Before we could’ve seen this pregnancy gets developed Cersei died and the show came to an end.
It is Lena Headey’s belief that the pregnancy arc was a quite curious one that needed more follow up in Season 8. Nothing happened further on it though, had directors chosen to do something with it, it could’ve meant a huge difference for Cersei.
Lena, while at a comic book convention in Germany; said that originally Cersei was supposed to have a miscarriage with the baby, but the scene was deleted. The scene shot showed Cersei losing her baby. Lena gave her quote to a source that this development could’ve meant something great for Cersei; to have come to pity Cersei yet again would’ve maybe made the audience more sympathetic and understanding towards her cause.
One of the mightiest regrets of GoT fans after the Season ended was Cersei’s death; it was felt that she had been given quite a mediocre death. Even Lena agrees on this note; she said that on a show where death can happen in any way possible, she wanted a better death.