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I admire your desire to help but right now there is really nothing you can do legally to force her back to Kentucky. Once the baby is born you certainly have parental rights but they will have to be enforced in Colorado if that is where the baby is born. You could try for an injunction in Colorado but I do not suspect a judge will force her to move back to Kentucky against her will. You can argue that her living arrangement is putting the baby at risk. The judge might consider this but it would be a longshot.
The worst part of my job is telling people when the law is not on their side but I would rather provide accurate and truthful info rather than give you false hope.
If you are not granted sole or joint custody with possession then you would pay child support. Once the baby is born you should file for custody. The judge should consider the quality of life you will be able to provide vs what she will provide.
We can talk via phone if you have additional questions. If not a positive rating would be appreciated.