I think sending a gift after the baby is born would be most appropriate. I was actually going to recommend having a "baptismal party" rather than a baby shower, but I guess you might not be sure if that will actually happen.
I'd add that you might choose the gift carefully so as to get a solid baby need rather than a parent "want". Basic necessities, for example, rather than a cute outfit which is more about the parents than the baby. There is a very fine line to be treaded between support and approval, but it is much easier for someone with a solid Catholic sense to know what is appropriate and what isn't.