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Delpha probably didn't know but Ursula should have been aware that there was a baby inside of her. Therefore, she should have displayed some form of regret towards the end of her life.
Yeah, she doesn't mention Shirley when dying for whatever reason. Her memories were probably messed with by addremelech so maybe she just couldn't recover that memory. From how addramalech and assis were talking in a memory it sounds like Stone brought ursula to addramalech without realizing ursula was pregnant.
I guess that is a valid explanation. Kind of sad that Delpha doesn't realize who Shirley really is to him. But deep down he does feel a connection to her - that is why he was wondering about how she was doing and gave her the flower.
And, man, do I despise Addramelech even more for what he has done...
Indeed, if it was early pregnancy, neither Delpha, nor Ursula would be aware of the infant... This is so hearbreaking...
Ursula left the Trailblazers to travel with Delpha.
They fell in love and of course played twister.
During their adventure, they were attacked by powerful Necros and were separated.
Delpha fell and hit his head and Ursula could not confirm or deny his death and went to search for him. The fall caused Delpha to lose all memories.
Ursula while tracking down Delpha, met Stone and another member of the Hubert School. Addramalech fooled Ursula into "helping him" while they "Searched for Delpha". During this time, he began to brainwash Ursula and conduct research on her. During this time, Ursula was not aware that she was in very early stages of pregnancy. Addramalech used this to his advantage as he could now study not only a Blader, but a being born from a blader and a human. He wanted to use Shirley as a bargaining chip but was dissuaded by Lilith (DLC character or Sequel Character/ I haven't seen her) Instead the truth of Shirley's birth was kept a secret from Ursula who was manipulated to the point she didn't even realize the changes to her body or the birth itself. She just had lapses in her memory. She might have regained this knowledge in time like Delpha did in the Arboretum, but Arissa unfortunately must end Ursula before she fully turns into a Necro. Preventing Ursula from learning about her own daughter. Delpha, never knowing that Ursula was pregnant, doesn't even have a reason to see Shirley as his daughter, yet... Something allows him to just know she is important to him. He asks Arissa to watch over her, even though he doesn't know her. He worries for her safety and wants the best for her. Like an innate fatherly instinct. If there is a continuation to the story, Arissa surely has pieced together the truth through the research documents. How can I infer this? She uses Research Documents to relay information to other characters like Assis. So Arissa most likely knows the truth but didn't tell Ursula as she knew her end was near and didn't want to cause distress to her. She wanted to tell Delpha but the shock of Ursula's death was profound that Arissa, being socially inept at the moment, thinks telling him about his daughter can wait. That or, OR!, since there is no concrete documentation, Arissa has not pieced together herself that Delpha is Shirley's father. Proof of Ursula being the mother is:
-Stone says Shirley is the girl from 12 years ago.
-Addramalech mentions stone brought Ursula to him.
-Addramalech memory shows Ursula was pregnant.
-Arissa acknowledged her powers as a Blader ability.
Now! The last "Plot hole". Shirley mentiions that she feels her "parents" in elysium. This is not her real parents, These are likely connections to the lost parts of Ursula and Delpha that Shirley is mistaking. Her powers have only just awakened at this point and she is trying to make sense of it all. So there is a real possibility she is just trying to make sense of something with little to no knowledge.
The story of these characters make a great side plot to the game. It's messed up and heart wrenching and is definitely worth exploring. Although it would be difficult to explore a story like this as a pregnant Ursula in a souls like game.
Adding on to what everyone else has said... ultimately, in the True ending, we know that Arissa will be Shirley's adopted mother. That's what will really matter.
As for Kastina, we'll no doubt see her in the next DLC.
Arrisa does not seem like the type to be a mom. She feels more like a big sis or maybe even a little sister. Honestly if you want to joke around, you could say Shirley proposed to Arrisa with her "let's make a home" line and Arrisa accepted so now they're married. And Loskid and Millaire can be the weird aunts.