The actress, who already has 7-year-old son Ryder with ex-husband Chris Robinson, also said that she does not like to discuss her pregnancy too much.
She told Graham Norton: "We have a couple of names but we're not telling anyone. People tell you so much about being pregnant it drives me nuts.
"It feels like a girl, but I don't know. Ryder thinks it's a girl."
The 31-year-old further expressed that she feels no "pressure" to marry the father of her baby, Muse rocker Matt Bellamy.
She explained: "I don't like putting that sort of pressure on it and I don't feel it necessary to get married.
"I am 31. I already have one child and have had one divorce so it is not necessarily the golden ticket. I just want to be happy."