The couple had chosen to pursue surrogate parenting because of the physical risks involved with Arnold carrying a pregnancy herself, given her skeletal dysplasia, the bone-growth disorder that causes her dwarfism.
The season finale of the show, which aired Tuesday, showed the couple working with their surrogate to undergo the final stage of in-vitro fertilization, in which embryos are transferred into the uterus in hopes of achieving a pregnancy. Initially, the news was good, with the surrogate reporting a positive pregnancy test to the overjoyed Arnold and Klein. But the episode ended with a brief, heartbroken statement from the couple reporting that their surrogate had miscarried the pregnancy.
Klein had to contact his wife, a neonatologist at Texas Children's Hospital, while she was at work in order to tell her the heartbreaking news.
"I didn't want her to be the last person to find out," he says. "Ugly or happy, it needs to be told. It was a very tough day, and Jen took it harder than she originally expected."
"I cried my eyes out," Arnold tells PEOPLE. "I deal with families who lose their babies and I will cry with them, but I thought I would be stronger. Nothing can completely prepare for all that when it is about you."
When the couple were able to get together at the end of the day, they mourned, crying and comforting one another and later talking to family and friends. The next day they decided they would continue trying to start a family, with both surrogacy and adoption as possible paths.
"Bill was a rock, and he held me through everything," Arnold says. "By the next morning, I realized that I needed to try again. We were so close and so pregnant with the ultrasound looking good, and so it was horrible for it to end. But I couldn't have said I was done. A lot of family asked, 'Do you want to go through this again?' And my answer is, yes. I would be miserable if I didn't try again."
(image via: http://www.people.com/)