Brady, who was appointed managing director of Birmingham City at the age of 23, has claimed that she felt "angry" after discovering the loss of her baby with former Blues player Paul Peschisolido.
"[I felt] a deep sadness," Brady told ITV's Piers Morgan's Life Stories. "Just a horrible deep sadness. I was a mixture of angry, because I didn't know why.
"I was incredibly sad because I thought I was having a baby and I wasn't. And then there's this horrible emptiness because you're pregnant, you're planning to have a baby and then you're not having a baby."
The 43-year-old was appointed vice-chairman of the Hammers in 2010.