The reality TV star - who previously dated Playboy mogul Hugh Hefner - and her party promoter boyfriend Pasquale Rotella will welcome their first child into the world early next year and the pair couldn`t be happier.
However, the blonde beauty admits the news was a bit of a shock as she expected to take a while to get pregnant.
Holly - who is 12 weeks pregnant - told Us Weekly magazine: "I`ve always wanted to be a mom. But I thought it would take longer!"
The 32-year-old beauty is experiencing some sickness and is trying to take precautions to ensure her nausea doesn`t affect her role in Las Vegas burlesque production `Peepshow`.
She added: "I`ve been lucky! No morning sickness, but I do get a little nauseous. It happens before my show, so I keep ginger ale backstage."
In June, Holly declined against renewing her contract for `Peepshow` and admitted at the time she was keen to start a family with Pasquale, who she has been dating for nine months.
She said: "I`ve wanted kids and that`s something I`m definitely doing as soon as possible.
"Definitely being with the right guy has a lot to do with it. My relationship is awesome. I`m happier than I`ve ever been in my personal life."