The burlesque beauty - who split from the Playboy founder over four years ago - is expecting her first child with partner Pasqualle Rotella and hopes her former lover will play a big part in her daughter's life.
A source told America's Star magazine: ''Hef's relationship with Holly didn't work out but they're great friends. He is already spoiling the baby with gifts.''
Holly has previously admitted she wants to give her daughter an ''unusual'' name
She said: ''I don't what to say what the names are, but I will say that they're very unusual. Kind of Apple-ish, along those lines.
''I don't like common names at all. If I've heard it before on somebody more than one time than it's out!''
The 32-year-old beauty is preparing to step down from her role in raunchy Las Vegas strip show 'Peepshow' and is searching for new ways of keeping fit as her pregnancy progresses.
She explained: ''There's a lot of dancing on the show [to keep me fit]. Also, I've been getting pregnancy yoga and pregnancy Pilates DVDs for my house and have been trying to work out every day and be healthy.''