In a backstage interview with Chicago's WXRT, the French-born musician, seemingly surprised, nodded affirmatively when asked about partner Coppola being pregnant.
Coppola, 38, and Mars have been together for four years, and have a 3-year-old daughter, Romy. Coppola was previously married to director Spike Jonze.
"I heard the story that if you play Bach, [babies in the womb] get smarter," Mars said.
Asked if he would play music from his band's latest album, Wolfgang Amadeus Phoenix, Mars joked: "We have to study it. Not sure it's a good idea."
Coppola, who lives in Paris, is currently in post-production on Somewhere, starring Stephen Dorff and Elle Fanning. The film is her first since 2006's Marie Antoinette.