Dear J.:
"I'm not going to celebrate the fact that you aren't sinning."
It's hard to comment on this without badmouthing your father. If he is SO religious (read bible-thumper), just re-read the passage about 'forgiveness' and 'throwing the first stone' to him.
I would ask him how he sees his future with you and your own family. If that is his position, it sounds as if he rejected you. What else could you do to 'fix' the situation than marry the father of your baby - by choice at that?
You could throw his statement back in his face when he wants to see his granddaughter (and one day he will). Say something like "Sorry, the only granddaughter I can show you was born in sin, so I don't think you'd be happy to see her." Then move on. I may be harsh, but I learned that you cannot deal with 'righteous' people who value a 2000 year old book over their own flesh and blood (assuming he follows the bible, but it would likewise be true for other religions). And just think what would happen, if you had another child. Would he love and hug your secondborn and ignore your firstborn? If he is that deadset already, things only get uglier. You should demand an apology and a change of heart from him, or else I would leave and stick to your child, your hubby and his family. Sadly, sometimes a parent/child relation does not work out. Detect that early and protect your own family.
As you may realize from my response, I do not get along well with self-appointed second comings of Christ (or the like). I could see his point if you had cheated or done something really bad (religiously), but to me it sounds like you only had a timing issue, and that now everything is fine. He SHOULD celebrate the holy matrimony, even if he disapproves the time before.
Perhaps you get a more qualified answer, if you lay out the two religions involved. For example, Jews and Christians may have strong issues on Christ, whom they view totally differently.
Pursue your own happiness.
W.