I would look to the inside to fix the problem - your horse could very well have digestive issues, and or ulcers causing the lack of weight gain.
My TB Gelding, is a hard keeper. I could shove as much food in his mouth as humanly possible, and he wouldn't gain weight. I couldn't get those ribs to dissapear. I would spend a fortune on Fat Suppliments, Hay, Complete Feeds, Rice Bran, Beat Pulp - you name it, I bought it.
Until one day, I had an indepth discussion with my Veterinarian, where I learnt that many horses, especially TB's deal with digestive issues, that causes the lack of weight gain because their bodies are not processing the food correctly, adequately or efficiantly.
So I turned to a couple of Digestive Products, which, surprisingly - has helped dramatically! I got him started on SmartDigest Ultra from SmartPak and SmartGut Pellets and he went from this:
He is, and was - on 5lbs of feeding twice a day. 3lbs of Purina Senior, and 2lbs of Purina Ultium. Plus round bale of hay. Then by adding the 2 digestive aid suppliments - he filled out beautifully.
I can't help you with the pregnant thing, never delt with it ever, never plan on it either.