I think that is the charade.
One Katarina was a KGB agent,
the other Katarina was a CIA Trojan horse inside the KGB.

parrallel stories:
Red/Tom, being imposters

LIz/Red, fining their lovers were fake

One Katarina was a KGB agent, the other Katarina was a CIA Trojan horse inside the KGB. A substitution of a woman who had KGB credentials or was a sleeper, by another operative, from the other side. A charade aided by or done with Ilya, under the identity Ilya Koslov, KGB agent, and Dom as Oleander, also KGB.

Fakerina could have been a sleeper agent, assigned to target a promising sailor in counterintelligence. And when Red realized Fakerina was a spy, instead of confronting her, he spied back. Red made Fakerina the center of his universe.

Then, he designed a charade. “You were the architect of this charade.” Used his misfortune for counterintelligence. Especially because Red knew a woman who was the spitting image of Fakerina, in fact likely a relative of Fakerina.

This woman, Dom’s daughter was named Katarina. She was a daredevil, a covert agent, already involved in a scheme to infiltrate the USSR.

So, what makes KR a figment?

The name Rostova was acquired by a cover marriage. It is likely that her entire persona, including maiden name was a fabrication, of what only her first name was real.
there were more than one woman using the name. At least two we know of: Fakerina and Katarina.
Even the OREA section of the CIA described her as a myth

Katarina Rostova was a similar concept to Edgar Legate, a fiction inhabited by many people




Katarina Rostova was no more than a name used to do intelligence or counterintelligence operations. A bit more permeant than Legate, but the same concept.

especially if Katarina was not KGB, but CIA, and Ilya, under the name Ilya Koslov had convinced Fakerina, who was a low level KGB that he was KGB and recruited her for a mission involving the use of the name Katarina Rostova, so that Katarina could become a legend and could access the USSR. Then Red could blackmail Constantin to get him to traffic in secrets or risk exposure that his wife was KGB.

the mythic spy Katarina Rostova, is an illusion, a name with flaming red hair and light eyes.

One woman who inhabits the myth is Katarina, Dom’s daughter,

The other is Fakerina, Blond Katarina, the woman Red refers to as "..."

BILOCATION IS A CONCEPT WITH CONSEQUENCES
So, what happens if Katarina, while in a cover marriage gets pregnant? The double HAS to get pregnant too, or fake the pregnancy.

OR vice versa.

If Fakerina gets pregnant and the father (RR) wants the child and threatens her with revealing she is KGB, in which case she would go to jail, and still have to deliver the baby in jail, she might reluctantly (like Hannah Hayes) deliver the child to term, but would want nothing to do with her. She might retain a basic desire not to harm the child, but none of the parental instincts to safeguard the child at the expense of her life.

And if this was the case, then Katarina would have to get pregnant too and quickly, to preserve the illusion to which she has devoted years to create. Or Katarina would have to fake a pregnancy, make believe she had to take bed rest, etc, and then procure a baby, or take Fakerina’s baby as her own.
We KNOW that Masha Rostova was legally the daughter of Katarina Rostova and Constantin Rostov, but MAY have been biologically the daughter of Fakerina and Raymond Reddington, as she knows quite well:

He’s also Keen’s father. Open it. That man is one of our agents. He’s staking out Keen’s building. Four years go, Reddington and Keen went on the run together. She was on the FBI’s Most Wanted list.

Nanny: It says here her name is Masha Rostova.

It also says she’s the daughter of a KGB agent. A notorious KGB agent named Katarina Rostova.

So, IF Liz is Fakerina’s biological child, then Katarina is her adoptive mother. The one who loved her, the one she was protecting by placing with Sam.

I think Katarina’s took this child in. Felt a bit insecure as a mother, there were secrets about who the baby was that made loving Liz a complicated matter, especially because that Rostov marriage was not real, it was a cover

And it would explain why Red might have hired Kate anonymously, just as he hired Tom Keen, to keep an eye on Liz.

And a man with a inherited disease that eventually would need a genetic donation from a descendant

So Liz was at the center of a dangerous set of circumstances with an adoptive mother married under false pretenses to a man who was a bit eccentric, enough to be willing to jump with a grandchild from a roof, in front of his presumed child, so that Raymond would not be in her life.

The coincidence of the close-in-age Jennifer and Liz, linked by Raymond Reddington. Were the girls switched?
ARE WE MISSING A CHILD, OR DO WE HAVE ONE EXTRA WOMAN?

Masha Rostova was legally the daughter of Katarina Rostova and Constantin Rostov, while Jennifer Reddington was legally the daughter of Raymond Reddington and Carla Reddington.

Liz is the biological child of a Katarina Rostova and Raymond Reddington. Carla Reddington calls Jennifer “her daughter”, and Red (assuming here he is RR) does not seem to have great interest in finding her, or even in her betrayal,

WHEN WAS LIZ BORN?

So we know Liz was born in 1985. Put those together and it seems likely Liz was born in late December 1985.

Jennifer Reddington
The identity Lillian May Roth for Jennifer was likely created near 2017, with a birth year of 1984.

So, it may be likely that both girls both born in 1985, a few months apart, as Dom suggests?

Jennifer grew up hearing her father was a danger to her

Could Jennifer’s father, the one that would be coming for her be Constantin Rostov? Even if her mother never told her so directly?

Remember that we have these facts:
3 women, Carla Reddington, Katarina Rostova and Fakerina.
2 girls, Masha Rostova and Jennifer Reddington, of approximately the same age.
2 men, Constantin Rostov and Raymond Reddington

We are missing one child, Katarina’s child, if she was really pregnant, because if Fakerina was pregnant then Katarina had to be pregnant or fake a pregnancy, OR we have one too many women.

OR there was no Carla Reddington, because Carla was the alias of Fakerina under which she had targeted Reddington, and maybe even married him by then.

In this scenario, Katarina hides her own daughter under the identity Liz had been born with, Jennifer Reddington, while Fakerina’s child grows up in the more dangerous situation of the Masha Rostova identity.

Or is Katarina who creates the Carla identity, marries Reddington, and has her child away from the dangers of being Katarina Rostova’s child.

The unlikely family is Red and Katarina (using the Carla identity), Katarina’s bio-child Jennifer (who is Red’s legal daughter), and the hidden child is Liz, Red’s bio-child and Katarina legal daughter under the Rostovas identities.

IF this scenario is what is going on, then Jennifer and Liz were switched, in reality Jennifer is the real Masha Rostova, and Liz is the real Jennifer Reddington. Liz is a replacement child in a way, but not from Red’s perspective, but from Katarina, more in reality of an added mockingbird in the nest.