(PEOPLE.com) -- Pregnancy joy turned to sadness for the stars of TLC's "The Little Couple," as they learned on Tuesday's episode of the successful transfer of an embryo to their surrogate, who later miscarried their unborn child.





Dr. Jennifer Arnold and husband Bill Klein, who both have skeletal dysplasia, a bone-growth disorder that causes dwarfism, have documented their road to parenthood on the show. They decided to use a surrogate to have a baby, because of the challenges a pregnancy could pose to her health.





On the season finale, Arnold and Klein learned their surrogate was expecting. "After we got pregnant, the craziness ensued with us wondering what to do with the baby's room, making sure our surrogate was getting her daily dose of baby vitamins," Klein tells PEOPLE.





But since filming their happy visit to the doctor, the couple's surrogate lost 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.





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"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."





A Rocky Road





Because both Klein and Arnold carry a single gene for their type of skeletal dysplasia, there is a chance they could both pass the gene on to their child, which could be lethal for their baby. To avoid this, embryos are genetically tested before implantation.





If no skeletal dysplasia genes are passed on, the baby would be healthy and average sized; if one gene is passed, the baby would be a healthy little person.





Also, Jen is on medication to stimulate her ovaries, which produced only half as many eggs as expected.





"We appreciated all the prayers and positive thinking," says Arnold of sharing her difficult story with the world. "That is comforting and is giving us strength. When we lost the pregnancy, we wondered how we were going to handle it. But by sharing our story, whether it be positive or negative, I think it can help others going through similar things."





Ultimately, becoming parents is what means the most. "We are so in love with each other and supportive of each other that we are going to be okay," she says. "We really want to be parents, and that is the goal here through surrogacy and adoption. We are not done trying yet."





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Until that day comes, Klein cherishes life with his wife. "I could go the next 50 or 100 years with just the two of us, because we have a great relationship," he says. "Few people are so lucky to have that from the moment you meet that one person, and everything we add
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