Wow! A student has never said that to me, but I can imagining it occurring at my high school at some point if it hasn't already.
Actually, come to think of it, one of the seniors wanted to "prank" some of the teachers and said she was pregnant. A few of her friends were in on it and keep the ruse going. The next day they laughed about it and said it was only a joke.

The other teachers and me did not quite get how it was a joke.
I can see how teens might do this for attention or if they have a mental illness that includes delusions. Obviously, it's not unheard of since you and Gracekrispy have experienced it, but I think it'd be on the rare side.