If you're prepared to cut off contact with A, then there's no need to bring it up. But if you want to keep her in your life, and you have feelings for her, and you keep it all suppressed and a secret, some day you may find yourself having cheated and wondering "how did I get here?" It happened to me.
How far along is your wife's pregnancy? I'd guess that telling her this at two months would be very different than telling her at eight months.
A "threeway relationship" is the most complicated of all the types of relationships you could pursue, and should be considered only if all three people are genuinely very into each other, not as a panacea to jealousy. It doesn't work that way. But as SC pointed out above, a vee is perfectly possible if you and your wife can work it out. It's not an affair if it's on the up and up.
The major players. Me, 30ish bi female. Gia, girlfriend of 4+ years. Clay, boyfriend/dom. Davis, ex/friend/"it's complicated." Eddie, roommate & fwb.
The supporting cast. Eric, Gia's husband. Bee, Gia and Eric's toddler. Dexter, Gia's lover. Helen, Eric's lover. Izzy and Nikki, Clay's partners. Liam, Eddie's husband.