WATCH: Palestinian-American supermodel Gigi Hadid confirms pregnancy with Zayn Malik
Hadid has been dating former One Direction star Zayn Malik on-and-off since 2015, celebrating her 25th birthday with him in quarantine on her mother's Pennsylvania farm last weekend.
US media had reported she was pregnant after family sources spoke to TMZ.
"Obviously, you know, we wish we could've announced it on our own terms, but we're very excited and happy and grateful for everyone's well wishes and support," Hadid told Fallon via video-link.
She is quarantining in New Hope, roughly 30 miles outside Philadelphia with Malik, her mother Yolanda Hadid, sister Bella and friend Leah McCarthy.
But Hadid - who has modeled for Chanel and Victoria's Secret among others - said it was a "nice silver lining to be able to be home, be together, and really experience it day by day."
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Hadid, whose father is Palestinian-American, has been vocal in the past about issues of social justice and pride in her Palestinian heritage.
Her boyfriend, singer Zayn Malik, is of British-Pakistani heritage.