What is wrong with me? I'm pregnant and should be happy but am depressed.

What's wrong. Is the word "should". Not every pregnant person is happy and even if they are happy most of the time, we all have our ups and downs. Perhaps you are putting too much pressure on yourself to conform to your ideal of a pregnant mother. Why not talk this out with first your doctor and then with a therapist?
Pregnancy. Lots of people are uncertain and fearful during pregnancy, especially if they anticipate being single moms. Ask your doctor about local resources.