Are you covered by the health care in SK? Temporary foreign workers usually are. If you are, then your health care expenses will be covered.
Here is how to register: http://www.health.gov.sk.ca/how-to-register
and documents needed: http://www.health.gov.sk.ca/health-card-supporting-doc
If you have worked 600 or more hours by the time you go on maternity leave, you would be able to get maternity benefits, see http://www.servicecanada.gc.ca/eng/sc/ei/benefits/maternityparental.shtml
Your baby will be a Canadian citizen. Having a Canadian baby will do absolutely nothing for your status. If you want to stay in Canada for good, your husband needs to sponsor you for PR or you need to find a way to apply for it on your own.