Professional counseling. Especially in view of the fact that she is pregnant.
Agreed. In addition to what others have suggested (sit down talk, educating her, meeting other INGO members to try and get her involved).
Sometimes it takes more than one person/one point of view to help someone become more open minded. Do you know any women that own firearms? You could make a solid case in defense of owning/carrying firearms but sometimes a person just needs to hear it from someone else.
Protip: I hope you followed up with a nice piece of jewelery after she sent you to the doghouse for the gun for Christmas (I can't blame her...90% of women see jewelery > guns)...generally it does not bode well to buy a woman something that she has no interest in let alone a slight aversion to in hopes of getting her interested in it...even if you did have the best intentions in mind
Good luck to you guys. I hope you can work it out.