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.
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.
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 might be initially shocked. He's used to a life of danger and chaos, and a pregnancy would be a huge change. But then he would become very protective. He has a complex personality, but deep down he cares about Cami, so he'd do everything in his power to keep her and the unborn baby safe.
In the comics, Klaus is not immortal. He may have certain powers and abilities, but there are limitations and factors that can pose a threat to his existence.
In some comic versions, Klaus is indeed depicted as gay, with storylines exploring his romantic relationships with same-sex characters. However, this can vary depending on the creative team and the direction of the story.
Klaus isn't gay in the comic. The creators have not developed his character along those lines. The focus of his portrayal lies elsewhere in the narrative.
Klaus is not based on real events. It's a work of imagination that brings together various fictional characters and plotlines to form an enchanting narrative.