It happened around 10:30 p.m. Friday on the 100 block of North Gulph Road.
The Montgomery County District Attorney's Office issued an arrest warrant for 38-year-old Rafiq Thompson of Philadelphia on Saturday afternoon.
Upper Merion Township Police were dispatched to the Exxon Station at 113 N. Gulph Road for a report of shots fired.
When they arrived on scene they found the victim, identified as Tamara Cornelius, lying in the parking lot and suffering from multiple gunshot wounds.
She was taken to Paoli Hospital where she was pronounced dead a short time later.
A homicide investigation conducted by the Upper Merion Township Police Department and the Montgomery County Detective Bureau revealed that the suspect and the victim were previously in a relationship.
Investigators say the two met and talked briefly before Cornelius went to have dinner inside The Cheesecake Factory restaurant.
After her visit to the restaurant, she drove to the Exxon at 113 North Gulph Road. Police say Thompson followed her to the gas station.
As Cornelius was pumping gas into her vehicle, police say Thompson exited his vehicle and shot at her multiple times, even as she attempted to run away.
An autopsy revealed she was pregnant at the time of her death.
"This was a chilling murder of a young woman and her unborn child. We will be filing an additional homicide charge against the defendant - Murder of an Unborn Child," said Montgomery County District Attorney Kevin Steele.
Thompson is to be considered armed and dangerous as the firearm was not recovered at the scene.
People at the gas station Saturday said they are shocked.
"That's ridiculous, that's really crazy," said Kendra Baugus from Roxborough.
"Yeah, I'm shocked, absolutely. I mean, you don't hear about those things happening in KOP like that," said Kynlyn Groce from North Philadelphia.
The president of "Women Against Abuse" is not familiar with the specifics of this case, but says when individuals are in the process of leaving that can be the most dangerous time.
"Relationships can be very complex, but always remember that domestic violence is all about power and control - and when that individual feels that they're losing that sense of control things tend to escalate," said Joanna Otero-Cruz.
She adds there are many resources available and it's important to reach out for help.
"Speak to a domestic violence counselor who can walk through what are safety precautions that individuals can take when in an abusive relationship," said Otero-Cruz.
If anyone has any information about the whereabouts of Rafiq Thomson, they are asked to call Upper Merion Township Police at 610-265-3232 or the Montgomery County Detectives' Tip Line at 610-278-DOIT (3638).
Anonymous text tips can be submitted using MontcoCrimeTips on the STOPit! app.