Hello, geoff, and thanks for your question.
If you look at the illustrations here, you should be able to tell what gender your rabbits are:
If you think you may have one male and one female, separate them now, until you're sure.
A rabbit's gestation period is about 28-31 days, with 31 being more common. They will usually not build a nest until hours before giving birth, and they WILL pull hair to line the nest, so she may be pregnant, as you suspect. The babies have to be separated by sex and from the mother, at approximately 6-8 weeks of age, when they are weaned. It's preferable to keep the babies with the mother up to age 8 weeks, so they will receive necessary immunity against diseases, through her milk, and strengthen their own immune systems.
If you just got these rabbits, the one who's building the nest may have been pregnant when you got her. Keep the male away from the pregnant female and babies, and as I mentioned, keep the rabbits separated now, if you think they may be of opposite genders. The female can become pregnant again, within 24 hours of giving birth, so you don't want the male near her at all before or after the babies are born.
You could find out for sure if she's pregnant, if you have her examined by a vet that has experience with rabbits. Bringing both rabbits to the vet will be helpful, as well, so you know the genders of both.
I wish you and your bunnies much good luck!