Nikolaj Coster-Waldau has been doing a lot of interviews about the final season. He has been talking about Jamie and Cersei's character arcs and their unborn child. We might have a theory about why that baby is doomed. There has been many scenes in earlier seasons of the show as well as the books that give you the idea for where the show is headed.
Right after that final moment with Jamie and Cersei during the finale, a lot of people were wondering if Cersei was lying about the pregnancy because we found out about it couple of episodes before this. Even Jamie thought it was a crazy idea. But you can see how they are slowly setting up Cersei's madness arc from the books. She slowly starts to go mad. It feels like she starts hearing things but you lose a lot of that because we do not get Cersei POV chapters on the TV show. So the way they pay that off is with scenes where Cersei seemingly makes the worst possible decision ever. She see all the evidence about the Night King, Jamie is ready to go help them out but Cersei just takes a complete left turn.
It is probably the craziest decision she could have made. This is the show writers slowly paying off her madness arc. So the baby itself is not fake, she is not lying about that. During an interview, people asked Nikolaj Coster-Waldau to clarify what he meant when he says "I do not believe you in this moment". He says that in his mind Jamie is saying "I don't love you anymore and I don't want any part of this". He is pointing at everything that is happening at Kings Landing and trying to say "I don't want any part in any more of your sh*t." And that includes her pregnancy too. So he does believe that the baby exists. But he doesn't believe in the family anymore. He is rejecting the idea that they have a future together as a family. His rejection of that notion is just another brick in the wall of evidence that this baby will not come to pass.
If your re-watch Maggy The Frog scene, It also gives you all the evidence about what is going to happen to Cersei's baby. Everything that Maggy has said, both in the books and the TV show, has come true so far. In the book, Cersei asks when she will wed the prince. Maggy says " Never, you will wed the king." She also says "Queen you will be until there comes another younger and more beautiful to cast you down and take all that you hold dear." Cersei was actually asking if she would wed Rhaegar Targaryen and Maggy was talking about the king, Robert Baratheon. She did wed Robert and become the queen until the younger more beautiful Margaery Tyrell came along and took all that she held dear, which was Tommen. Cersei asks if the king and her will have children. Maggy says "six and ten for him and three for you. Gold shall be their crowns and gold their shrouds". Six and ten for him means all the bastards of Robert like Gendry. Three includes the three children she had with Jamie. Gold shall be their their crowns meaning that they would all have golden hair and gold shall be their shrouds meaning they would eventually die. If Maggy says you are only going to have three children, then it will either be a stillborn or she will die in the process of giving birth.
So all the scenes from the book and the TV show foreshadow that this baby will not come to pass. Not that it's fake but it won't survive the pregnancy.