And even if the PM did ask him upfront, Joyce admitted he probably would have lied.
"(The Prime Minister) never asked any direct questions and to be honest, if I believed it was private, I wouldn't have told him either," Joyce said.
Campion refused to be photographed during the interview and offered just one comment, saying that her son's middle names would be in honour of her two brothers.
"Their support has meant so much. They are the only people who knew," Campion told Fairfax Media.
Despite circulating reports about her significant pay packet, the former journalist and media adviser denied she was earning up to A$190,000 when she worked for cabinet minister Matt Canavan.
Campion produced payslips during the interview that showed she was paid about A$133,000 a year in Joyce's office, A$138,000 in Senator Canavan's office, and A$135,000 when she was employed under former chief whip Damian Drum.
She also revealed the public scrutiny had deeply affected her and that she had missed medical appointments because she was too scared to go out in public.
The pair spoke together for the first time in an interview at their controversial rent-free home in Armidale, which was provided by Joyce's wealthy businessman friend Greg Maguire.
Joyce, who revealed the couple have only spent 14 nights in the apartment since January, said he wanted to conduct the interview there to show he wasn't living for free in a "palace".
"Mate, this is a bachelor's pad," Joyce said.
The expecting parents will be moving out due to increased media scrutiny about a potential breach of the ministerial code of conduct putting the home's location in the spotlight.
When asked how he felt about becoming a father again, Joyce said: "The one thing that has deeply annoyed me is that there is somehow an inference that this child is somehow less worthy than other children, and it's almost spoken about in the third person."
"I love my daughters. I have four beautiful daughters and I love them to death. And now I will have a son. I don't pick winners, I'm not gonna love one more than another, but I'm not going to love one less than another either.
"I don't want our child to grow up as some sort of public display. I have to stop it from the start. It's a fact we are having a child, it's a fact it's a boy, it's not more or less loved than any of my other children.
"I don't want to say have sympathy for me. I just want people to look clinically at the facts and basically come to the conclusion he is not getting a gold star for his personal life, but he has made a commitment, he is with her, they're having a child, and in a 2018 world there is nothing terribly much to see there."
