Ah, but from a storytelling point of view, there was a reason to it - look at the order of the deaths:
* Not-Jeyne's probable child
* Not-Jeyne
* Robb
* Catelyn
The impact of the deaths cascade up the chain, with each person seeing the one they love most die before they do: Not-Jeyne sees her probable child die; Robb sees Not-Jeyne die; Catelyn sees Robb die; Catelyn dies.
Sure, killing Not-Jeyne outright wouldn't break the chain (only forge it with fewer links), but by killing her probable child, Jeyne goes through the ultimate heartbreak before dying, adding extra weight.
Another aspect of the chain of deaths is that it all compounds on Catelyn, breaking her completely. She said, a few episodes back, that she felt responsible for the ruin raining down on House Stark (she prayed to the gods to keep Jon Snow from dying from illness as a boy, promising to treat him like her own son... but after he survived, she just couldn't go through with it). Her other children, in her mind, are dead or as good as dead, and now she has seen another woman lose a possible child (Catelyn is big on children), seen her son lose his wife, then seen (what she thinks is) her last remaining free child die. The sum total of the deaths, with the fact that each person's world crumbles before they die, is far more powerful than, say, just Robb getting killed.
Stabbing Not-Jeyne through the heart wouldn't have ruined the scene, that much is certain, but by stabbing her through the stomach and leaving her to bleed out knowing her probable child is dead adds that extra layer of impact, and also serves to shock the book readers - we knew the Red Wedding was coming, but even with our knowledge we didn't expect such brutality.