Lily, 29, credited her husband Sam Cooper with getting her through the dark times.
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Brave Lily Allen became understandably upset as she talked about the loss of her son
"I think it's difficult for anybody regardless of what world they live in, and actually what I took home from that experience was… Even though it was the most unfortunate thing that can ever happen to a person, I was fortunate in the sense that I have a loving partner to go home to and share that experience with," she said.
The star added, "There are many women – 17 stillbirths in the UK everyday – that go home and they don't have that support, they have to go home and deal with that on their own.
"So I am kind of in a bit of a – since that happened – in a 'count my blessings' scenario rather than feeling sorry for myself."
Lily and builder Sam have been married since June 2011, and are parents to daughters Ethel, two, and Marnie, who will be two in January. The couple would love to expand their family further.
Lily Allen and Sam Cooper on their wedding day in June 2011
"I'd love a boy," Lily told host Jonathan. "And I'd also like another girl just so I can call her Auxiliary Jane… or Pizza. I quite like Pizza for a kid, or Mega Lolz, that would be good. Megan Lolz."
Despite being happily married, Lily admitted that she does use dating app Tinder – but for an entirely different reason.
"I don't meet up with people, I just talk to people on it," she said. "You can have a chat situation… sometimes I am away, if I'm in Australia or Los Angeles and there's no one up that I know to talk to on the phone, sometimes I'm just like, 'Actually, yes, you look quite fun to have a little chat'… but nothing sinister.
"My biography on the app basically says 'I'm a recording artist, I travel around the world, I'm married, I have two beautiful girls'… at the end it says, 'Some of my photos are now and current, and some are of when I looked significantly hotter and younger'… It's not a hooking up thing!"