Jessie says she found out about the devastating news when she went for her third scan and was told the baby did not have a heartbeat.

Jessie showed up in L.A. for the acoustic show at The Hotel Cafe, and told the crowd ... "I decided to have a baby by myself and by a miracle it worked for a while and yesterday it was f***ing s***." She went on ... "This year has been hands down the hardest year I've ever had to get through ... I lost my baby and I know I'm going to be OK."

As for how she mustered the strength to put on a performance, she answered that before the show, saying, "What I do know is that I want to sing tonight. Not because I'm avoiding the grief or the process, but because I know singing tonight will help me."

Before the show, Jessie posted, "I started singing when I was young for joy, to fill my soul and self-love therapy, that hasn't ever changed and I have to process this my way," adding, "I want to be honest and true and not hide what I'm feeling. I deserve that. I want to be as myself as I can be in this moment. Not just for the audience but for myself and my little baby that did its best."