The baby is enclosed in a very thick layer of, for lack of another word, skin; which contains the baby and fluids. The medical term is amniotic sac. This sac is self contained, without any openings. There is a cord from the fetus' belly button to the placenta, where the baby gets it's nutrients. Even still, nothing can get inside the amniotic sac. Not even sperm.
Like with all sperm that does not fertilize an egg, it gets absorbed into the female body, like a drop of water that disappears into a glass of water and becomes one.