One idea could be exploring how the Dragonborn and Serana deal with the impending arrival in a world filled with danger. Maybe they have to find a safe haven away from all the threats. Another plot could be about the reactions of their friends and allies. Some might be overjoyed, while others could be worried about how this new addition will affect their quests and battles.
A great plot could revolve around the unique challenges they face due to their different natures. The Dragonborn has their own powers and responsibilities, and Serana being a vampire brings in another set of complications. For example, they might need to find a way to ensure the baby is not affected by Serana's vampirism. They could also go on a journey to seek the advice of wise elders or magical beings in the world who might know how to handle such a situation.