Need advice and support please ladies

Hi everyone.
This is a bit of a difficult subject for me and I'm not sure who I can talk to about it, so I thought you ladies would be able to help me.
I'm from the UK and 4 months ago I moved to Saudi Arabia to start a new job.
Since being here I met a very nice guy from America and we immediately fell for each other and haven't spent a day apart since. 
We're madly in love with each other and it just seemed like fate that we met.
Then...4 days ago I found out that I was pregnant!!!!
But being in Saudi Arabia it's against the law for unmarried people to have sex (but obviously us westerns do) 
We've discussed our options and we want to give this ago. 
I can't see a doctor here and if they find out I'm pregnant we will be in trouble. So I was thinking of going to Dubai just to get checked over by a doctor for the mean time.
He will be returning to the US at the end of April and he wants me to go with him. However, will we need to get married in order for me to be in his health insurance. 
The better option is for me to go to the US with him as he has a job to go back to. If I return to the UK, yes I will be covered by medical but neither of us will have a job. 
I'm just really scared invade anything happens whilst we're still here. I'm worried about my health and the babies health and if anything were to happen (tough wood it doesn't) I could let get seen to immediately.
Another factor is that if I do go to America with him I would be coming up to 20weeks pregnant and would I be able to find an OB/GYN? 
I'm also really scared about what the future holds and I could really do with some support 😢😢 xxx