They might be shocked at first. In the fanfiction, there could be a lot of dark and unexpected plot twists. For example, if their relationships are depicted in a different way or if there are new threats they have to face. They'd probably start by discussing among themselves what they just read, trying to figure out if it has any real meaning or if it's just a wild interpretation of their world.
Raph would be the first to show his concern through anger. He'd be mad at himself for not protecting Leo better and also at the situation that led to Leo's injury. Mikey would be visibly distraught, constantly by Leo's side trying to cheer him up. Donnie would be all business, using his scientific knowledge to figure out the best way to treat Leo's wounds and help him recover.
The other Turtles would probably have a mix of reactions. Leo might be initially concerned about how this would affect their team dynamic and the safety of April and the baby. He would likely try to come up with a plan to protect them. Mikey would be excited and start thinking about all the fun things he could do with the baby, like teaching it to skateboard or play video games. Raph might be a bit more gruff at first, but deep down he would be protective. Splinter would be wise and offer his guidance, seeing it as a new chapter in their family's story.
Splinter, as their sensei and father figure, would offer wisdom and comfort. He might have some traditional methods to help with Donnie's pain and healing. And he would also use this as a teaching moment for all of his sons about the importance of caution and looking out for each other.
Leo would likely take charge. He'd be calm on the outside but worried inside. He'd make sure Donnie gets proper rest and tries to organize the others to help. Raph might be a bit gruff at first, but he'd actually be really concerned. He might offer to get supplies or guard Donnie while he sleeps. Mikey would be the most emotional. He'd probably be constantly by Donnie's side, trying to tell him jokes to make him feel better.
Leo would likely take charge immediately. He'd assess the situation and start giving orders on how to help Mikey. He'd be calm on the outside but worried on the inside.
Leo would probably take charge immediately. He'd be focused on getting Mikey to safety and finding a way to treat his injuries. He might be blaming himself a bit for not being there to protect Mikey better.
Raph usually gets really angry. He blames himself for not being there to protect Leo or he gets mad at the enemy who hurt Leo. He'll be the first to want revenge and will be very protective of Leo while he's injured.
In the traditional TMNT universe, male turtles like Leo getting pregnant goes against the biological norms of the franchise. However, in fanfiction, anything can be reimagined. Some fanfiction might use magic or some out - of - the - box concepts to make such a situation possible, but it's not part of the official TMNT lore.
In this fanfiction, the TMNT might escape by first observing their captors' routines. If the Shredder has minions guarding them, they could wait for a shift change or a moment of inattention. Donatello might be able to hack into any security systems if there are any. Also, they could use their knowledge of the sewers to find a way out. Maybe there's a hidden passage that the Shredder doesn't know about. And of course, their ninja skills would come in handy for sneaking past guards and making a quick getaway.