Khula is valid in the state of pregnancy, therefore if wife forgives her dower and husband gives her Talaq then khula is valid. Until khula takes place she will be in the Nikah of her husband and the child born out of the wedlock shall belong to her husband. But, after khula it was not allowed to marry her until her Iddah was over by delivering a baby. You must get separated right away. You should repent to Allah and seek His forgiveness if you had marital relations as well. You can do Nikah after delivery. It is to be noted that this is the case if the khula was valid; therefore it is better to write the entire details related to the khula.
Allah (Subhana Wa Ta’ala) knows Best
Darul Uloom Deoband