It has been extremely stressful for you both as there are multiple aspects involved here leading to present situation. Firstly, It's just 4 months since you are married. Adequate adjustment & bonding wouldn't have happened in such a short span. Mutual understanding & trust needs time to build. Secondly, She has come here to a remote place with a different culture without knowing many or having few friends. She doesn't feel engaged here except while she is managing household..? Adjusting to a place, people & environment takes time. Thirdly, she has entered pregnancy with already existing insecurity & loneliness which when combined with hormonal alteration she is going through might be making her really sad & helpless. In her situation, she has been adamant on going back. Fourthly, you are also suffering & helpless as an individual, husband & prospective parent.   You cannot leave a steady profession here & leave to your native however you cannot console her & bring her back to a calmer & happier mindset. You might be okay in this situation to send her to her native for this period however that also would make her miss you & get insecure . Finally, At this point it is not just about you both but also about the third life growing within her who also would be affected by her mindset. As a solution, find out if there is some activity she enjoys engaging with, which she may use as a weapon to engage as well as socialize with your aid. Find out if her parents could stay with you here at least for a month while she is coping. Take her for walks/rides/day out to acquaint her with city & people also make her talk more about her experiencing of new life. Finally make her understand your stand towards your job in her own way. Get her acquainted more with social networking. Ensure that she feels engaged & appreciated as much as possible. A Counseling session with a professional(a psychologist or psychiatrist) might be of great help at this point as a prenatal consultation and as an assistance to adjust better. Think about it with priority. Take Care & Be Strong.

May be your wife is missing the close set of relatives and her parts.  Normally ladies would expect some amount of pampering during pregnancies. Ask her parents or your parents be with her for sometime. If it persists more do consult a Psychologist /Counsellor make her understand and manage her situations everyday.

Clinical Depression is based on certain criterias which is not clear from the description. If the symptoms have started just after relocating to Bangalore it might be due to myriad of issues. 1) your wife is pregnant and is in a new city away from family....underlying anxiety has to be ruled out. 2)from the description it's clear that you r committed to your job....does your wife have adequate engagement. ..is she bored at home? 3)There might be other environmental issues like change in food, habit....language or hormonal changes due to her pregnancy etc. What's going on in her mind is a look up of a psychiatrist or a psychologist (which u should consider if things get worser). What you should target is that...give her adequate support and time. Keep her engaged in some meaningful activity. Plan for some quality time between yourself. And lastly ensure her that you will try to make her happy and how much important she is....don't argue or justify your stay in Bangalore.....If there are somatic complaints like lack of sleep, decreased appetite you should seek professional  help.