Hu Ping, formerly of the public security bureau of Pingnan County, was drunk when he shot the woman and her husband, who ran a rice noodle restaurant, Oct 28, 2013.
The husband, Cai Shiyong, sustained minor injuries in his right shoulder. His wife, Wu Ying, and their unborn child died after being shot twice.
Hu was sentenced to death for intentional homicide in February by Guigang Intermediate People's Court.
He appealed, but the Higher People's Court of Guangxi Zhuang Autonomous Region upheld the verdict in April and the death penalty was approved by the Supreme People's Court.
Hu's crime caused an "abominable influence on society", said the court.
The rulings in the first and second trials were based on "clear facts" and "valid and adequate evidence" and "the conviction was accurate and then penalty proper", it said.