If they want to financially support you that's NOT OK, as third party (anyone other than you & your fiancee) financial support is NOT ALLOWED.
Well 3rd party support is allowed ... it would not be a criminal offence for the parents to pay, or for you to receive, financial support. However, and this is the point, the ECO looking at the visa application would ignore any such financial support when considering whether the financial test is passed, or not.
bhoy, whilst you need to appreciate that such potential benefits cannot be taken into account in assessing whether the visa should be granted or not, thanks to para 3C of the Immigration Rules, once the baby is born, and assuming mum and baby then in the UK, it will be totally OK to claim Child Benefit and Tax Credits.