I don't know your situation, of course, and if other family members could help; I also know people can misunderstand our best intentions. But when my late wife, Ruth, faced similar situations, she always wanted to reach out to the person who was going down the wrong path and show Christ's love to them.
Have you ever thought about the people Jesus dealt with? He reached out to all kinds of people, including some who were living openly sinful lives. The woman He met in Samaria, for example, had five husbands, and wasn't married to the man with whom she was currently living. But Jesus risked misunderstanding by talking with her in public - and her life was changed. (You can read about her in the fourth chapter of John). Later, some of His enemies claimed He must be "a glutton and a drunkard" because He was "a friend of tax collectors and 'sinners'" (Luke 7:34).
Pray for your niece; ask God also to give you an opportunity to share your concern about her unmarried status. Remind her that her child will be coming into a home that could fall apart at any moment (whether she realizes it nor not) because it lacks the commitment of marriage.
It also lacks a foundation in God's love.
Then ask God to help you reach out to her with His love - not just now, but in the months and years ahead. Her greatest need is Christ, and God can use you to point her to Him.