What does one do when a sister in Christ says, "My unborn baby died." ?

This matter of human suffering, needs to be addressed first. That person is grieving and as a Christian, even if we are well taught and know that this unborn baby could be in the Lord's presense or in Hell awaiting the Judgment of God followed by eternal torment in the Lake of Fire, we are obliged to first comfort the pain of loss with prayers for THAT person. The terrible pain of loss, that will be intensified by uncertainty and maybe suffering for this little one unborn, will deeply wound the heart of the most godly of people.

To beat them down with theological correctness will be certainly revealing a terrible inconsistency for our first priority is to the living and not the dead. We console the one who has lost with loving and tender words and in time as the Lord sees to open their hearts to the loss they might be able to let go.

In the oppossite direction. When my Dad died, I was deeply wounded. I loved him though he has lived as a Free Mason and lived for himself, and the chances were he would end up in the lake of fire, I was in no position to make such a judgment, though my mind continually strayed there...oh how it hurt to think of him suffering in that way. He had given so much of his time and life to the betterment of mankind, trust me he was more of a saint that the saintliest of saints. It was similar when my Mother died, for though she said very little about Christ, she lived a life of service and attended services when she could caring and loving all three of her husbands. The loss was awful and I grieved terribly. I knew the passages in Romans 9 and I knew that there was a strong chance that both of my parents would not be some of the happy faces I might see, but I consoled myself with uncertainty and would not accept it until I accepted God for who He is, the Lord God who judges more righteously than you or I ever could, and I let go of both of them, for each had, had lives that they had lived and each would have died and gone to the very place where God wants them to be. I cannot, I dare not question the Potter on His decision, but He was patient with me and let me take a sidebar into fantasy, for a time he let me have them both saved and safe. But in time I learned that if they were, where-ever they are they are exactly where the wisest and holiest of holy God Almighty has them and that I needed to rest in.

I still grieve some and cry some, when I think of my precious Mother. O Lord, into your hands I leave them.