One challenge would be acceptance from their respective communities. The heroes might not accept Nightwing being involved with Harley, a former villain. And the villains might see Harley as a traitor for being with a hero. Another challenge could be protecting the pregnancy from their enemies who might want to harm them or use the baby for their own gain.
Well, the plot could involve a strange experiment that causes Harley Quinn to become pregnant. Nightwing gets involved because he's trying to figure out what's going on. As the story progresses, they have to deal with villains who want to use the baby for their own evil purposes. They might also have to deal with their own personal issues, like Harley's past relationship with the Joker and Nightwing's loyalty to Batman.
One great fanfiction could be 'Harley and Nightwing: An Unexpected Bond'. In it, they might start off as enemies due to their different associations in the Gotham underworld. But as the story unfolds, they discover they have more in common than they thought. Maybe Harley starts to question her loyalty to the Joker when Nightwing shows her a different side of heroism. Another could be 'Love in the Shadows of Gotham' where their love has to be kept a secret because of their different standings in the city.
The emancipation of Harley Quinn has been depicted as a comic. It explores her character development and story in that medium. There are various storylines and art styles that contribute to the overall narrative.