Well, technically speaking, phantom pregnancy is a real thing. Queen Mary Tudor (Bloody Mary) had two of them in her life. If you are convinced in your brain that you are pregnant, your body will play along and you can develop a baby bump, convince yourself you feel kicks and movement.. it's a legitimate psychosomatic condition.
However, if you don't think you're pregnant, then you're probably just feeling gas pains, etc. When your first pregnant, and you feel the first kicks, you find yourself wondering if it's gas or the baby.
