You have to look after your mental health too, and if you are going through a rough bit, sometimes it can be good to make the decision to not go to the Baby Shower or other event. Among family and friends, this has happened a few times. One of my mates told the other mate that it was a bit tough at the moment and so she wouldn't make it, but hoped they all had a good time. Other times, its easier to not give a reason or say you have another event to go to. It depends on your relationship with the person and how they will react (you don't want more drama if they are a drama queen). It's an option if you want it.

take care