"Obviously, we wish we could have announced it on our own terms. We're very excited and happy and grateful for everyone's well wishes and support," the 25-year-old model told Fallon.
"During this time, it's a nice silver lining to be home and be together, and really experience it day-by-day."
Gigi’s mother, Yolanda Hadid also confirmed the news when speaking with Dutch broadcasting station RTL Boulevard.
"Still shocked our little secret got leaked to the press," she told the outlet in a statement translated to English. "Of course we are so excited. I am excited to become Oma in September especially after I lost my mum so recently. But this is the beauty of life; one soul leaves us and a new one comes in. We feel very blessed."
Prior to the pregnancy being confirmed, a couple of telling clues had eagle-eyed fans musing about a possible new addition to the Hadid family...
Last night, Gigi prepared a vodka pasta recipe which she shared to Instagram noting her version was made without the alcohol component.
And, the model's 25th birthday was rumoured to have doubled as a gender reveal party after fans noticed Bella presented Gigi with gifts wrapped in baby-themed paper and balloons at the celebration had pink and blue strings.
Gigi and Zayn been romantically linked since 2015 but their relationship has been on-again, and off-again. The couple are said to have rekindled their romance in November 2018.