Neon tetras are one of the trickiest fish to breed. First of all, the fish won't be pregnant as such; she'll be carrying eggs.
When she lays them, you need a male in the tank also who follows behind and sprays his sperm over the eggs as they're layed; it all happens outside.
Most people spawn tetras in groups. You separate the females into a spawning tank with peat (preferably) or marbles on the bottom and you feed them live and/or frozen foods for a week or two until they're all nice and plump.
Then, last thing at night you add the males, give them a water change with cold water, and let natural sunlight fall onto the tank first thing next morning. The adults will eat the eggs as they lay them, but some will fall into the peat or between the marbles. Then you catch all the adults out and totally cover the tank. This is very important as the eggs (and fry) are light sensitive and won't hatch if any light gets to them.
The eggs hatch after three days but the fry use their yolk sac for another three or four days; so you need to keep the tank covered all that time; you must not even peek. That's why a peat substrate is best as it will contain micro-organisms that they fry can eat if they need to.
Once they've become free-swimming, they need to be fed infusoria as there is nothing else small enough for them; they are really tiny fry.