I had a couple of pregnant squirrels and one in Labour but when I checked back the next day non of them were pregnant and the one that was in Labour isn't anymore.

They must have had the kits already. If you scroll to the bottom of your nest page you should see kits, but you you have no spaces or not enough spaces left in your nest the kits could have run off. You can check if they did in your mail, the game should have sent a message to tell you if they ran away.