Hey, family permit is for family members of an EEA members that live in the UK. If you hold brithish passport and live in the UK your fiance won't be able to apply for that kind of visa. You would have tobe a residents in any other EEA Country. It sounds really unfair that you had been refused, I tought that having children together makes application vey strong. I hope you will be succesfull next time, wishing you best of luck with your baby.