A recently published study that's taken the easily amused internet by storm shows that 1 in every 200 mothers report "at least one virgin pregnancy unrelated to the use of assisted reproductive technology". In a sample size of 7870 women, that's 45 perceived immaculate conceptions.
The belief was more common among women who'd signed chastity pledges, and women whose parents struggled to talk clearly with them about sex and birth control. Or just plain didn't have the knowledge to teach their daughters the basics.
Researchers say that whether the 0.5% really truly believed they were virgins was hard to gauge. It's possible some women weren't clear on the definition of "sexual intercourse", or that they considered themselves "born again virgins".
Also, and this is something "women's" media seems to have overlooked, sexual abuse victims often (and legitimately) consider themselves virgins for various reasons, despite their technically having been penetrated. Which takes this research out of the vaguely comical territory and into a whole new realm altogether.
Subtlety in marketing