Sad news for the woman who claimed she was pregnant with Adrian Peterson's 9th kid -- TMZ Sports has learned she had a miscarriage ... but she's still gunning for AP's cash.

As we previously reported, the woman -- a massage therapist -- was asking for roughly $2 MILLION from the NFL star to cover 18 years of child support, education, medical expenses, etc.

But now, people directly involved in the situation tell us ... the woman lost the baby over the weekend.