I'm pretty sure Megan was jealous. Could be a few things. She brushed off the remark about having her own children that Stephanie made but I can't help but wonder if she isn't a little bit upset about not having her own children. And "beautiful" Stephanie, radiant despite being seven months along, is just thrown in her face rather suddenly. Not to mention that Stephanie is from a part of Don's life that was kept secret for so long. The secretive nature of the relationship, however platonic, plays into Megan's paranoia about Don's possible misbehaving perfectly.