Haha, this one is playing with this idiom: Two's company; three's a crowd. It means that sometimes two people wouldn't have as much fun if they're joined by a third person. (And this third person can be called "a third wheel".) But in your sentence, it implies that these two people probably have had too much "fun", which suggests sex, and therefore the result is that they now have with them a third person who's actually their baby.