My vet and I had this discussion yesterday. I have an older mare who I was questioning pregnancy on. We did a blood test and sent it off, with a mixed result of "She could be pregnant, but most likely not because of her progesterone level." Last week she came into heat and I bred her multiple times to the stallion. Monday I looked at her bag and she has a little bag and has white milk. So I inquired about that with the vet. He said that sometimes their heat cycle can give them a little bit of a bag, and cause them to produce milk, but it's a short term thing. He was right, checked last night, swelling is down and still a tiny milk, but not much.
I've never had a mare that was in foal allow a stallion to breed her, but have had a couple of "hussies" who would stand by the fence when they were heavy in foal and tease the stallion, turn their but to him, wink at him, etc. If she is showing heavy signs of interest in the stallion, I would question her pregnancy unless it is confimed or she's obviously in foal. Good luck!