She told The Mirror: "I found out I was pregnant at about three and a half months and I'm now at the 22 week stage."
The singer - already a mother to one daughter - added that her bandmates Jeanette Akua and Rielle Carrington have been 'so supportive and really positive' about the news.
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Miss Dynamix were picked by Gary Barlow to go through to the live shows
"They're already playing the auntie roles perfectly feeding me up and making sure I eat healthily," she said.
"I feel doubly blessed. I've got really exciting times ahead with the girls in the band and finding out about the baby has been like the cherry on the cake. 2014 will be a year to remember," she added.
Sese recently revealed that she is bisexual, and that her boyfriend Chavez accepts her crushes on women.
She told The Sun: ''He's OK with me loving girls. He doesn't mind it. He just laughs about it. I think he's shocked.
''My mum's shocked. When it first started to happen - I think it started at the end of last year - my mum was like, 'Stop it, stop it.' ''
Meet the 'X Factor' final 12 in our gallery below...
X Factor finalists
Kingsland(01 of12)
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On getting through to live shows: Connor: When Gary paused and we were waiting for his decision; that felt like literally an hour. It was ridiculous! Thompson: We didn't think we were through. He compared us to Take That, which was absolutely amazing. He said he can see himself in us, and it reminds him of how he started. It's the biggest compliment we could ever have. Take That are pop royalty, that's amazing. Josh: We just want to get out there now and give the performance of our lives. All we've wanted to do from the start of the competition is do performances that people will remember. Josh: I wouldn't say there will be big outfits, we're not a band of Rylans, but we're looking forward to choreography and slick moves and putting on a real show.
Nicholas McDonald(02 of12)
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On getting through to the live shows: “To be in the live shows is overwhelming and amazing as I never thought I'd be here and I am so thankful to be in this position, I hope I do Louis and everyone proud. I can’t wait to perform in front of the nation and show everyone my talent. I just hope make it to the final and do my best.”
Rough Copy(03 of12)
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On having Gary as their mentor: Sterling: “We can’t even explain the feeling of having Gary as our judge. We used to watch Take That when we were younger”
Shelley Smith (04 of12)
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On making it through to the lives shows: “I’m overwhelmed to be in the live shows and feel unbelievably proud that Mrs O sees something and believes in me. I was so shocked when she chose me. Apart from having Madeline, it was the best day of my life so far. It's been such a roller coaster for me this year and I'm happy that The X factor has given me an opportunity to shine. I can’t wait to work with all of the vocal coaches to bring out the best of me.”
Hannah Barrett (05 of12)
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On getting through to the live shows: “I'm so overjoyed that I've gotten through to the live shows that I keep having out of body experiences. I didn't think I would get pass the room audition and now I'm at the lives, it’s so crazy my dream is becoming a reality. The stage is my home so I’m looking forward to getting on that stage and tearing it up!” “After coming from Gregg’s and serving four sausage rolls for the price of three, never in my wildest dreams did I expect to get this far.”
Sam Bailey (06 of12)
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On getting through to the live shows: “I feel so lucky to be chosen for the live shows as there is so much talent this year. I didn't think I would make it this far at all. I am excited about the impact of my new style on the audience; I can’t wait to show them more of my voice and what I can do. I’m not just a ballad singer; I’m somebody that can sing any style – even opera.”
Tamera Foster (07 of12)
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On making it through to the live shows: “I feel so blessed to have gotten through to the live shows: it’s such a crazy feeling I’m so lucky. How many people my age get this kind of opportunity? I'm going to love every second of it! I think the thing I'm most excited about is being in front of an audience. Ever since Bootcamp I've realised what a buzz it gives you and I can't wait to feel that way again.”
Abi Alton (08 of12)
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On making it through to live shows: “I can't believe I'm through to the live shows and it still hasn't sunk in: I never anticipated getting this far. I'm really looking forward to putting my own twist on classics at the live shows.”
Luke Friend(09 of12)
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On getting through to the live shows: “The whole X Factor experience has been wonderful and now I'm through to the live shows it is a wonderful feeling. The most exciting part of my first week’s performance is totally changing an 80’s classic and making it completely my style.”
Miss Dynamix (10 of12)
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On getting through to the live shows: Jeanette: It felt like Gary paused for an hour. He said, 'I don't know if it's going to work' and I just looked down. I didn't think we were through. I couldn't even look him in the eye. Afterwards I was like, 'Gary, you nearly killed me! Don't do that to us again!" Rielle: I was crying before we even got up there. I didn't feel it had gone well. SeeSee: When he said it, I just fell to the ground. I couldn't hold it together. Jeanette: We have cried a lot. They did a compilation of us crying and it was pretty long. We need therapy!
Lorna Simpson (11 of12)
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On getting through to the live shows: “When I learnt I was through to live shows, I experienced so much joy and happiness at once; it was the best day of my life so far. Sharon believed in me enough and I'd worked hard to hear those words... You’re in my top 3! “I'm most ecstatic about the fact I'm not going to be the one sitting at home wishing it was me! I get to live up that moment in week one belting out a huge popular 80s song, and pouring out my heart while getting some real pop dance moves on.”
Sam Callahan(12 of12)
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On getting through to the live shows: “I cannot wait to hear the "Sam Callahan" voice over and the audience when I walk out onto that stage for the first live show. That would really psych me up! I'm buzzing to get out there and show everyone what I'm made of!”
Who's the mumma? Kim KardashianWho's the daddy? Kanye WestBaby ETA: Next yearInteresting fact: Kim's difficulty conceiving the couple's second child was chronicled in 'Keeping Up With The Kardashians', before confirming she was pregnant with a son. (credit:Jason Merritt via Getty Images)
Pregnant Celebs(02 of08)
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Who's the mumma? Coleen RooneyWho's the daddy? Wayne Rooney. Maybe you've heard of him.Baby ETA: JanuaryInteresting fact: This will be the third child for the happy couple. (credit:Shirlaine Forrest via Getty Images)
Pregnant Celebs(03 of08)
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Who's the mumma? Sam FaiersWho's the daddy?Baby ETA: Early 2016Interesting fact: Sam confirmed her baby news on Instagram. (credit:Tim P. Whitby via Getty Images)
Pregnant Celebs(04 of08)
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Who's the mumma? Keira KnightleyWho's the daddy? James RightonBaby ETA: Spring 2015Interesting fact: Keira and James tied the knot in May 2013. This will be their first baby. (credit:Steve Granitz via Getty Images)
Pregnant Celebs(05 of08)
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Who's the mumma? Katherine JenkinsWho's the daddy? Andrew LevitasBaby ETA: Late 2015Interesting fact: The couple shared their baby joy with an adorable snap on Instagram of a pair of pink shoes. (credit:Steve Thorne via Getty Images)
Pregnant Celebs(06 of08)
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Who's the mumma? Olivia ColmanWho's the daddy? Ed SinclairBaby ETA: Summer 2015Interesting fact: The 'Broadchurch' actress has two children already with her writer husband, Ed. (credit:David M. Benett via Getty Images)
Pregnant Celebs(07 of08)
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Who's the mumma? Katie HalilWho's the daddy? Howard DonaldBaby ETA: Early 2016Interesting fact: This will be the first couple for the couple, who married secretly earlier this year. (credit:Bauer-Griffin via Getty Images)
Pregnant Celebs(08 of08)
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Who's the mumma? Kelly ClarksonWho's the daddy? Brendan BlackstockBaby ETA: Early 2016Interesting fact: Kelly confirmed her baby news in a typically Kelly Clarkson-esque fashion, by claiming she was "totally pregnant" during a live show. (credit:Bruce Glikas via Getty Images)