How did Joseph know baby Jesus was in danger?

Joseph was a good man and he did not want to cause Mary any embarrasment so he had planed to call off the marriage quietly. But an angel of the Lord came to him and told him to stay with Mary, which he did. From the book of Matthew, chapter 1, starting with verse 19 in the King James Version it says; 19 Then Joseph her husband, being a just man, and not willing to make her a public example, was minded to put her away privily. 20 But while he thought on these things, behold, the angel of the Lord appeared unto him in a dream, saying, "Joseph, thou son of David, fear not to take unto thee Mary thy wife; for that which is conceived in her is of the Holy Ghost.
In Jewish law, an engagement was binding. If either was discovered to have been unfathful even though they were not yet married, it was law to terminate the engagement. Joseph assumed Mary had been, since she was pregnant, but was not going to publicly disgrace her.