I had a friend who bought a mare and a month later, she gave birth. No one knew she was pregnant. Previous owner said she got out and in with the stallion but "didn't think she was pregnant." Even had her checked and ultrasounded. The mare was thin already and we were all completely shocked.
When the baby came, he was healthy but the unfortunately the mare had no milk and rejected him. Sadly and much to our disappointment, he passed after three days. We tried everything to keep him here with us but was not meant to be. It was a complete roller coaster ride and very, very hard emotionally. We were all devastated.
It is very sad and I understand your loss. Again, I am glad that LuLu is healthy. And know too, that she will bounce back.