His friend asked him about the name.
"We've called her Brenda Fevola."
Fifi admitted she thought the whole thing was a joke.
"It's not a stitch up. There's no middle name."
Realising he was telling the truth, the radio host said, "It's a beautiful name. It's Brendan and Brenda."
In May, Fev announced, “The Fevola family is going to become six. We’re having a baby!”
“It all happened when we went to America over Easter – well, not that part, it was a little bit earlier than that – but Alex was feeling really sick over in America. I was like to her, come on, you’ll be right. She thought she was just jet lag," the former AFL star, 37, explained.
The couple are already parents to daughters Mia, 18, Leni, 12, and Lulu, 10.