Umm, hardly. It was published in 1934, before anyone had heard of the blitz. Set in Victorian and Edwardian England. Perhaps you are thinking of the Robert Donat movie version?
My apologies for doubting your superior knowledge Chinajan! My memory of the 1969 film is obviously better than that of the book'My thanks also to Smoradina for reminding me.
i was on same wavelength as you katie, 'Thomas Hardy's Far From the Madding Crowd' is the book we were thinking of, poor flaxen haired woman staggering into the village on a dark and stormy night, already most of the way through labour. i did type alot more about this but have deleted it, it's all very tragic and you can read the book if you want (terence stamp is incredicle in the film).
The woman who dies in childbirth in Far from the Madding Crowd is called Fanny. The novel is set in the mid-nineteenth century. The heroine's name in Wuthering Heights is spelt Catherine, not Katherine. That book was set in the late 18th, not 19th, century.
And, yes, Terence Stamp was utterly gorge as Sergeant Troy. Yum.
In Wuthering Heights Catherine Earnshaw Linton dies in child birth but the baby doesn't. It's a girl also named Catherine who eventually marries Heathcliffes son Linton.