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Is your marriage registered in Bahrain? Ie you got married here and marriage certificate issued by ministry of justice.  Or marriage certificate from home country attested by MOFA, Bahrain embassy in home country and then by MOFA Bahrain.  In both of these cases, you will have no issue.

We are married here in bahrain in the philippine embassy only this month of march but my wife already pregnant 5 months before the marriage and one of my friend told me she have friend in the same situation. the goverment counting how many months the pregnancy before marriage and they file a case when we filing the cpr of the child.

I haven't heard of cases like that.  The Government has better things to do then to count months.  There is no application for CPR - it's an electronic birth certificate request which is filed by the hospital  which has a field called "duration of marriage".  They put whatever you ask them to put on it.

It is important to be legally married and registered accordingly.  You need to get your certificates attested as I mentioned.  Without those, irrespective of married or not; in the eyes of the law, you will NOT be treated as married.  They check that from the birth request i.e. the CPR number of Father and Mother need to be shown as married in the record.

If you are really worried, go home for the delivery and then sponsor the child to come back with you.