Well, assuming there are fanfictions like this, one theme could be the adjustment of their relationship dynamics. Gray and Natsu, who might have had a certain kind of relationship before, now have to face a completely new reality. Another theme could be the challenges they face in terms of taking care of the impending new life. And perhaps there could be themes related to secrecy or acceptance within their world, especially if this is a concept that is not in line with the norms of their fictional universe.
In the event that 'Gray Gets Natsu Pregnant' - type fanfictions exist, a likely theme would be the journey of self - discovery for both characters. Gray might discover new aspects of himself as he is about to become a father - like figure, and Natsu might also learn a great deal about his own identity in this new situation. Additionally, themes of friendship could still be present, as their friends might support or react negatively to this situation, which in turn could affect the overall story arc.