Salaams,
There is a law in Islam that states that Muslims living in a non-Muslim country must comply with the laws of their country of residence without, at the same time, disobeying Islamic Law. This means that if polygyny is prohibited in your country, then your husband should abstain from marrying a second wife because he would in fact be disobeying Islamic law (he doesn't need a second wife to live a good Islamic life). While having up to 4 wives is permitted in Islam, it is not by no means a necessity nor the norm, and most Muslim men (more than 95%) that I know have only 1 wife and are happy and satisfied with 1 wife. So I would argue that your husband is in fact being a bad Muslim by seeking to marry a second wife not only because it is unfair for you (because he never had a conversation with you on the topic) but also because it actually violates Islamic law.
From reading your posts, [MENTION=40023]Muslimah1990[/MENTION], I feel very sad for you that you are in a such a vulnerable situation right now. First, you have recently converted to a new religion that you don't fully understand yet. Then, you are relatively isolated because you don't have many Muslim friends that you can talk to for support or feedback about what is right and what isn't. On top of that, you are recently married and pregnant. It also sounds like you are quick to blame yourself (by saying things like "I am very hormonal") and to get depressed. I also find it quite disingenuous of your husband to look for a second wife in a hush-hush manner while his first wife is pregnant.
I think that there is a conversation that should have happened before marriage that didn't happen. Because you were new to Islam, I think that your husband is at fault for not explaining to you what marriage in Islam means and what his goals in terms of marriage were. Obviously, you come from a different culture and religion where polygyny is considered unacceptable, so the onus should have been on him to explain to you what you should look forward to with a life with him.
That being said, it is not too late to have this conversation with him. While I wish you all the best in your marriage, I think that it would be prudent for you to get supports in your new community as soon as possible, and to make sure to set clear limits about what you consider to be acceptable versus unacceptable in marriage so that you and your husband are clear and don't have any further surprises in your marriage.
All the best...
That's all you can do. It's like a non-Muslim wishing to have extramarital affairs in a Muslim country, he should go somewhere else if he can't abide by the laws, correct? Same thing. If a man can't keep his horny self, to his horny self and wants more than one wife, he should go somewhere else.