To write a 'yugioh pregnant fanfiction', you should also do research on pregnancy itself, even though it's a fanfiction. This helps in making the story more realistic. You can then incorporate Yugioh - specific elements like the Millennium Items. Maybe the Millennium Puzzle has some kind of power that affects the pregnancy in a positive or negative way. You also need to focus on character development. A character like Mai, who is usually independent, might have to learn to rely on others during her pregnancy, and showing this transformation can make for an interesting story.
First, know the characters well. Understand their personalities, goals, and relationships within the Yugioh universe. Then, think about how a pregnancy would impact them. For example, if it's Kaiba, how would his pride and business - minded nature be affected? Next, create a plot. It could start with the discovery of the pregnancy and then build on the reactions of other characters.