Lucy Steel was impregnated not by a person, but by the Corpse's head, a mystical artifact central to the narrative of Steel Ball Run.
The Mysterious Impregnation Event
Lucy Steel's pregnancy occurred under highly unusual circumstances within the story. While attempting to flee from the President, she inadvertently stumbled upon various stolen Corpse parts. It was during this astonishing event that she became pregnant, with the Corpse's head specifically discovered within her womb.
This extraordinary form of impregnation was not a traditional biological process. After being impregnated with the Corpse's head, Lucy went on to absorb all the other scattered Corpse parts. This unique absorption process initiated a significant metamorphosis within her, leading to her apparent acquisition of a Stand power and a crucial transformation in her role within the overarching plot of Steel Ball Run.
For more context on the series, you can explore the Steel Ball Run Wikipedia page.