This article from when they were first abducted -
https://www.theguardian.com/world/20...ng-afghanistan says "The couple had embarked on a journey last July that took them to Russia, the central Asian countries of Kazakhstan, Tajikistan and Kyrgyzstan, and then finally to Afghanistan."
She got pregnant on the trip it seems and may have been pregnant before they got to Afghanistan. It's definitely all a bit weird, but jumping to conclusions that the guy specifically travelled to Afghanistan with his pregnant wife to join the Taliban seems a bit of a stretch.