2x18 In Arcadia Ego, written by Chip Johannessen, Michael R. Perry and Erin Maher, directed by Thomas J. Wright.
Two women break out of prison, leaving a dead guard behind. He tried to kill them with a hidden pistol, but they are saved by a miracle.
We learn that one of the woman is pregnant. They believe it is "God's child", a virgin conception. Investigating, Frank and Peter instead posit that she was raped while under sedation by one of the guards, who says "She's a dyke! It was supposed to be a joke".
Frank and Peter try to rescue them, but the world continues to be cruel. In the end DNA analysis of the baby shows no relation to any man at the prison.
The warden with the cowboy hat is Ed Lauter: The New Centurions (1972), Satan's Triangle (1975), Magic (1978), The Rocketeer (1991). He is unsympathetic to the women, as are all the police.
Notes:
Et in Arcadia ego = 'Even in Arcadia, there am I', a reminder of the presence of Death. I'm not sure of the particular relevance to this episode.
I don't know why the Millennium Group is involved in a prison breakout.
At the beginning a guard is watching "women in prison" porn.