Either get out of the country, or get married right away if you can obtain the necessary documents quickly enough (and dont ask me what they are, I suppose the instance doing the officiating ie. your embassy or the local court will tell you).
If it so happens that this pregnancy is completely unwelcome, she will also need to leave the country for a while if you know what I mean.
Her and the baby's health would also be a concern here as I understand you need proof of marriage to get prenatal healthcare.

And yes, you would be prosecuted for immoral relations, of which the pregnancy is proof, and the penalties are not lenient.

For me it is insane but what do you expect, we are in Qatar...(better not say any more in case I get in trouble myself :)