In the club
Euphemism, meaning pregnant.
More fully, this expression is 'in the pudding club'. It is a 20th century British expression. An early example of it in print is in James Curtis's novel, The Gilt Kid, 1936:
You were put in the pudden club by the squire's son.
It's possible that Curtis coined the phrase but, more probably, it emerged as street slang sometime before 1936.
See also, the related phrase, up the duff.