One idea could be exploring how Hellboy and Liz prepare for the baby in a world full of supernatural threats. They might have to seek special protection for the unborn child from their enemies.
Another plot could be that Liz's pregnancy gives her new and unexpected powers. As she's carrying Hellboy's child, there could be a unique demonic or magical energy transfer that changes her abilities, and they have to figure out how to control it together. This could also attract unwanted attention from both the human and supernatural worlds.
A possible plot is that Hellboy and Liz are worried about the nature of their child. Given Hellboy's own origin and the fact that he is a demon - like being, they are concerned about what the baby will be like. They could start a journey to find answers, perhaps consulting wise old creatures or looking into ancient prophecies related to their kind.