"Breathe! Please breathe! ...Take my last breath I held it for you!
There you go... Good girl. Breathe. Breathe. Brea- ... please no... ...It... It can't already be gone! That air was supposed to last for- Please! Celestia! Send some air! Can't you see she's suffocating?!
Stay with mama. Stay with mama. Stay with-
...You were to be my dawn..."
Commission for Dialogue by her.
Luna/Nightmare Moon (unbeknownst to Celestia) was with foal when she was banished, and she is forced to give birth in her lunar exile. She attempted to save her last breath of air from Equestria for her foal, but it failed to sustain the infant... and so she died after the air left her--leaving behind her anguished, exiled, mother.
Paternity is irrelevant--the foal's colors are simply the colors of dawn. Besides, I would think that immortal alicorns reproduce differently anyways... cosmic dust or special magic or something. Armor intentionally left off. You try giving birth with armor on.