"You Are Here" premiered at the Toronto Film Festival on Saturday, E! News reported.
"[Zach] missed the premiere because his wife is very pregnant and about to give birth and he did not want to take the chance of not being in LA if she went into labor," Galifianakis' manager told E! News.
"You Are Here" director Matthew Weiner said he didn't know until Friday Galifianakis wouldn't be at the film's opening.
"Zach is going to be the best dad in the world," Weiner said.
Galifianakis and Lundberg are a secretive couple -- it has not been confirmed whether they are married, though there were reports last year the couple had wed in Canada.