What do you say in condolence note for loss of pregnancy?

There isn't much one can really say as there is no greater loss than a child even if the child has not been born yet. A lovely card with a short comment under and then signed is the easiest way to deal with this. Often people will say 'your little one is sitting close to God' or, 'there is a reason for everything.' Don't say this as the grieving person needs to go through the grief (which is normal) on their own and no Words are going to help the loss they feel. Each individual grieves in a different way. You can let them know how sympathetic you are towards their loss and that if there is anything you can do to please call you (leave your phone number.) Perhaps in a couple of weeks if you know this person well then phone them up and ask if they would like to go for lunch and they just may talk your ear off about their feelings and the pain they feel, but, sometimes women prefer to move on from such an experience and just your friendship with some much needed laughter may be the best medicine for this person so they can heal and move on.