They used to call it "hysterical pregnancy" -- a term that dates back to when male scientists had declared that all mental disorders radiated from female lady parts. It's now referred to as pseudocyesis, and it's shockingly common -- as many as one out of every few hundred pregnancies turns out to be pseudocyesis. That is, nonexistent.
What causes it? Were you impregnated by an incubus, and are you about to give birth to an invisible spiritual entity? Probably not. But that guess is as good as anybody's.
"Girl or boy? I don't care as long as it's healthy and filled with inhuman rage."
After all, it'd be one thing if these false pregnancies just caused some nausea and weight gain -- it's easy to imagine somebody tricking themselves into some stomach issues. But the condition also disrupts menstruation and causes other common pregnancy symptoms such as breast sensitivity. In the weirdest cases -- such as this 1960s case of a woman in Rochester -- the abdomen will become distended as if there's a fetus pushing out (doctors have found they can make this go away with anesthesia. Apparently, while awake, the mother is involuntarily forcing the belly out with her abdominal muscles ... or something).