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 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.
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.
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.
Caroline as a human in fanfiction with Klaus can create a really interesting dynamic. It allows for exploration of how a human might interact with a powerful vampire like Klaus. For example, she could be a source of light in his dark world, constantly challenging his views.
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.
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.
In the fanfic, the pregnancy could be the catalyst for them to truly open up to each other. They might share their deepest fears and desires. Klaus could reveal his insecurities about being a father, fearing he'll be like his own father. Caroline could comfort him and they could bond over their hopes for the baby. As the pregnancy progresses, their love could grow stronger, and they could become a more united front against any threats.
Often, he'll claim it's for her own good. He might believe that the world she's in is too dangerous for her, and by taking her away, he can keep her safe from other threats in the supernatural world.
Their relationship likely becomes more intense. With a baby on the way, they have a deeper connection. Klaus might become more tender towards Caroline, showing a side of him that few have seen. Caroline, on the other hand, may start to rely on Klaus more for protection and emotional support.