Hi all.
I was in a similar situation. Copr issued and couldn't travel.
Best option is if you can travel and deliver in Canada. If the baby is born before 3 months, you bear all the expenses. After that, it is free. However, remember that you would still have to pay for the routine checkups and scans that are done within the time frame. You can have an insurance, but that would be pricey too.
Second option (which I took ) is to inform the high commission about the pregnancy. keep your documents ready for all procedures as soon as the baby is born, and apply for a passport. (I applied for an express speed passport for my daughter). Then inform the high commission immediately. I soon received a mail requesting more documents, which I promptly sent (this included updated forms, baby's fee, baby's birth certificate, passport copy and updated proof of funds). Once done, I have now received medical request for me, my daughter and spouse again, which we will be undergoing. Also our previous copr and visa have been rendered invalid and we would be issued fresh ones. I also received a mail requesting the copr and passport for cancellation of previous documents and issuance of new ones.
I thought my experience may be of help to anyone in deciding their course of action.
So whatever you decide, wish you all the best!