Locke asks about his father and Emily claims that Locke doesn't have a father because he was immaculately conceived.

The narrator believes herself to have immaculately conceived a kappa (folklore).

Although the Lutheran churches teach that Mary was immaculately conceived, they have nothing on their calendar for December 8.

To make this point, the documentary shows a priest emphasizing that Mary herself was immaculately conceived.

Maybe he was immaculately conceived?

The first was that Mary herself was conceived immaculately, inside the womb of her mother - she had been born without original sin.

She appeared several times thereafter, identified herself as "the Immaculately Conceived," and performed miraculous cures.

Besides, weren't her children going to be immaculately conceived?

Immaculate Conception - All things are immaculately conceived, as all things come from the One.

Thus the Blessed Virgin is often referred to as the 'rose without thorns', since she was immaculately conceived.