As far as we know from the text, Rhaegar took Lyanna shortly after the 'abudction' to the Tower of Joy, the location of which was unknown to most people. He got the three Kingsguard he trusted the most - Oswell Whent, Arthur Dayne and Gerold Hightower - to guard her and the rest remained at their posts in King's Landing. So the most likely answer is that Jaime never knew that Lyanna was pregnant, especially since if she got pregnant after the rebellion started, Rhaegar would know to keep it a secret otherwise the baby would be killed by Robert.

From what we know of their characters, those three Kingsguard would die rather than betray their oaths, so they would never have told anyone, even if they had the opportunity. Curiously, Barristan Selmy was not in this august gathering, despite the fact that he was well-regarded. Possibly he was kept away on purpose, or Rhaegar simply didn't know him as well as the others. But I think if Jaime didn't know, Barristan didn't know either (and thus can't tell Daenerys).