In books and movies the fetus dies, always. That may not be the case. A wolfs womb is different from a humans, and a physical shift means the womb would change and my guess would be that the placenta would come detachted essentially killing the fetus. The human pelvis is designed for a human baby a wolfs is not. If there is a physical transformation, the amount of aldrenaline it would take could possibly burst the babies heart(speaking that its formed) which is already pumping at full capacity, at least for the few weeks, i don't really remember how long it flies as fast as it can. But a huge aldrenaline rush, like the one to shift, would cause an overdrive and once again killing it.
An infant would be expected to shift with its mother. Though most 'weres' do not come into their creature until puberty. I don't think the rule changes for unborns.