NICE, France—Valérie Aubry-Dumont got the news in a WhatsApp message from deep inside Islamic State territory. “Mom, you’re going to be a grandmother,” wrote her teenage daughter, Cléa.

When Ms. Aubry-Dumont last saw her daughter, Cléa was a 16-year-old girl attending Catholic school in a Paris suburb. After a breakup, Cléa met a young man online and within months the couple fled France to live in a stretch of northern Syria ruled by Islamic State.

“I...