Confirmed. It happened to me last night too.
Married a woman from a foreign court. 1 month later as I go on a crusade I get the message "My wife is pregnant! But I was away, wasn't I?" Suddenly some English earl had cheated on his wife with my wife to be, while I got the cuckold event and subsequent penalties against my wife and some backwater saxon nobleman. What makes it silly is that I'm the king of Sweden.
For those interested I took the whole affair as a man. Namely beheading my Queen and assasinating said earl and the bastard that was transported from Västergötland to England at birth.