Moving states while pregnant advice?

Posted this on r/Insurance before because I didn’t realize this sub existed, but thought I might be able to get some advice here as well.

Hi all, I’m at a loss as to what to do or who to contact about this. So, my wife is pregnant and the due date is in July 2023. We currently have insurance through a university (we’re both students), but we graduate in May 2023 and this insurance will end. I have a very good job lined up after graduation, but it’s out of state and it’s going to take a while to get benefits covered. When I called, they told me the earliest I would probably be covered is August 2023. So we will be moving states in May or early June 2023 and lose our coverage. I’ve heard the Cobra plan can extend our current coverage, but that would only be valid in the current state we live in. I’m worried about the very quick turnaround time between moving and the due date. Is there any other way for us to switch insurance quickly or extend our current insurance before going? Or is our only option to wait until after we move and then buy insurance via marketplace? Are there any other options? Thanks