“Lili is named after her great-grandmother, Her Majesty The Queen, whose family nickname is Lilibet,” the statement said. “Her middle name, Diana, was chosen to honour her beloved late grandmother, The Princess of Wales.”
Harry and Meghan already have a son, Archie, who just turned two last month. They announced Meghan was pregnant with Lili in February, months after the duchess opened up about had suffered a miscarriage in July in a New York Times op-ed.