Currently if you give birth in Malaysia the baby will be Malaysian. If you give birth outside Malaysia, the baby won't get citizenship automatically. If you somehow plan to give birth in South Korea, you going have to check the law there. Worst case the baby don't have any citizenship, and that's a huge problem.

How many months is the pregnancy? If it's less than 3 months, and if you are willing, marry someone else immediately so the baby will inherit someone else name. If you are willing.