I had a couple of pregnant wolves 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 pups already. If you scroll to the bottom of your den page you should see pups, but you you have no spaces or not enough spaces left in your den the pups 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.