Sayyiduna Wathilah bin al-Asqa' (may Allah be pleased with him) buried a Christian woman who had a Muslim child in her womb, and he buried her in a graveyard that was neither the graveyard of the Christians nor of the Muslims.
Hadith Referenceالسنن الكبرى للبيهقي / كتاب الجنائز / 7084