She was also spotted buying baby clothes at Seraphine's maternity boutique in Kensington.
However, Michelle's representative has not commented on the matter.
Michelle and Thomas have previously worked together on 'Fosse/Verdon'.
The drama 'Fosse/Verdon' was directed by Thomas, in which Michelle played the character of Gwen Verdon, for which she also won the Emmy Award for lead actress.
Kail has also been awarded Emmy Award for directing 'Grease Live!' and a Tony for directing 'Hamilton' on Broadway.