Another possibility is that Caroline reacts with a sense of protectiveness. Even though Klaus is a powerful being in his own right, in his wolf form he might seem more vulnerable to her. So she could find herself wanting to keep him safe from any potential threats in the area, which would be an interesting turn in their relationship dynamic.
Caroline could also be in awe. Maybe she has always been curious about Klaus's wolf side and now that she sees it, she is both amazed and a little bit confused. She might stand there, frozen for a moment, just taking in the sight of him in this new form.
Well, it could be that Caroline has a premonition about seeing Klaus in his wolf form. So when it actually happens, she is somewhat prepared. She might use this opportunity to try and understand Klaus better on a deeper level. She could think about how his wolf form represents his primal nature and how that relates to his complex personality as a whole.
Klaus might be overjoyed. He has always been attracted to Caroline, and having a baby with her could be the ultimate sign of their connection. He would probably be very protective, using all his power and resources to keep her and the unborn baby safe.
Klaus may be overjoyed. Given his complex character, he might see this as a new beginning, a chance to create a family of his own in a way he never thought possible. He could immediately start making plans to ensure Caroline and the baby are well - cared - for.
Klaus shows his love by protecting Caroline. He would always be there to save her from any danger, whether it's from other vampires or supernatural threats.
Klaus would be very attentive to Caroline's pregnancy cravings. He'd see it as his duty to take care of her during this time. He might cook for her himself if he can, or take her to the best restaurants to get what she wants. He would be a bit overprotective too, making sure that whatever she eats is of the highest quality and safe for her and the baby. He'd also listen intently to her when she talks about her cravings, finding it endearing and a sign of the new life growing inside her.
In some fanfictions, Klaus's first reaction could be one of suspicion. He has been betrayed many times in his long life. So when Caroline shows her feelings, he might think it's a trap or some sort of ploy. He would start to question her motives, but as he looks into her eyes and sees the honesty there, his suspicion slowly turns into a warm feeling of acceptance and love.
Well, at first, Klaus might be in disbelief. He's a complex character. But once he accepts it, he would go to great lengths to safeguard Caroline and the baby. He could use his power and influence to create a safe haven for them. He might also try to reform himself in some ways, knowing he has a family to think about now. He'd be very involved in every aspect of Caroline's pregnancy, from her health to her security.
He could be very protective. Klaus has always seen Caroline as someone special. Now that Stefan is gone, he might feel a stronger urge to keep her safe. He may try to show her that he can be a better option for her than Stefan ever was, not in a mean way, but out of his own feelings for her. He'll likely be very gentle at first, trying not to spook her.
Bonnie would probably be very protective. She would use her magic to ensure Caroline's safety during the pregnancy. She might also be the one to encourage Caroline to be strong and not let Klaus's absence break her. Elena, on the other hand, would be more empathetic, sharing her own experiences of heartbreak and trying to help Caroline through the emotional turmoil.
It could become more intense. They now have a shared responsibility, so they might be more connected. Klaus might be more tender towards Caroline, and Caroline might start to see Klaus in a different light, perhaps more as a partner rather than just an acquaintance.