An Israeli soldier and two Palestinian fighters were also wounded.
Ayman Mohyeldin, Al Jazeera's correspondent in Ramallah, said the gun fight took place after Israeli military vehicles entered the refugee camp in the early hours of Thursday.
Israeli military sources said the soldiers were firing after Palestinian fighters attacked them with grenades.
The woman's husband, holding a box containing the baby's body, told reporters that when the shooting started, his wife went to fetch their other children from another room.
"As she stood up, the bullets entered her body, she flew from the bed to the bathroom," he said.
Doctors at a local hospital said Katoumi, in her eighth month of pregnancy, lost the baby.
An Israeli army spokesman in Tel Aviv said he was checking the reports about the wounded woman.
He said a soldier was wounded in the fighting. "Improvised grenades were thrown at a group of soldiers operating in the area overnight.
The soldiers identified militants shooting at them and they returned fire ... and identified hitting two of them," he said.
Israel's military frequently carries out operations to detain wanted Palestinian fighters in the West Bank.