The couple, who married in 2007, already have two daughters - Lilly-Ella and Lexi - together. The news was confirmed by Alex in the latest edition of OK magazine.
"It didn't feel real because it was all so quick," she admitted. "It wasn't planned, we were quite happy as we were, the kids are quite independent now so it was nice.
"My first pregnancy was such a shock because suddenly everything revolves around the baby, but with the second you get used to it and you know the routine, so the third should be easy, fingers crossed!'"
Discussing how Lilly-Ella, 7, and Lexi, 5, had reacted to the news, she said: "They're both really excited. They haven't stopped talking about it. They keep saying to me, 'Mum, is it still in there?'
"I'm going to have the girls running ragged. I'll be saying to them, 'Do this, do that'. They're so girlie that they'll love it."
Alex, who is now over three months pregnant, confessed that the news had brought her and Liverpool footballer Steven "closer".
"It's great because he's had loads of time off and we're both really happy," she said. "He's being so nice. He took me away to Dubai and got me a very nice present. He's very caring and is looking after me."
However the 28-year-old said that she expects this to be her last pregnancy: "Oh God, I couldn't have any more, four is a lot - three is enough."
The couple's Merseyside home was targeted in a raid last February, during which armed men threatened to take their two daughters.
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