They could also struggle with their own fears. Katniss has been through so much trauma in the Hunger Games and the war. She might be worried about passing on her nightmares or not being able to protect the child. Peeta, on the other hand, would be there to comfort her. They would have to work together to overcome these internal demons while also dealing with the external threats to their family.
Well, one possibility is that they would face a lot of challenges in protecting their unborn child. In the world of Mockingjay, it's full of danger. They might have to hide from the Capitol's remaining forces to ensure the safety of their family. Also, their friends and allies could rally around them to help, like Haymitch giving them advice on how to survive in such a tough situation.