All I can say is I can't believe the vet would let the 3lb puppy out of the clinic without making sure she wasn't pregnant and terminating the pregnancy right away if she was. Hopefully Roxy's mom will take the baby to another vet ASAP.
Just curious to the OP... why didn't you spay them? and why was the boy intact still? Seems kind of irresponsible in many ways unless you were wanting this to happen, and if you were, I'm not sure you were thinking about the best interest of any of the dogs.
Roxy looks like a sweetheart. Sorry she's having to go through another litter again because of a mistake