While it is *possible* that they got pregnant w/out actual intercourse, it's so highly unprobable... you say she hasn't gotten her period in "several months"-- are there any other pregnancy 'indicators'? Weight gain, fatigue, nausea, dizzyness, hunger... you know the list, I'm sure.
There are so many reasons that a period might not come-- from plain irregularity, to stress, poor nutrition, very low body fat (a lot of marathon runners and etc don't get regular periods (although healthy) due to the lack of body fat)etc. I think any of those might be more probable than a virgin pregnancy, especially given the time frame; most women notice "symptoms" within a few weeks of missing that first period.
ETA: Either way, it's a good reason to see a doctor or other practioner, b/c a missing period can be an idicator of a lot of other problems or overall health issues.