Well as the movie states early on."Which come the first, the egg or the chicken?? answer : the rooster"
Basically the baby was Jane....who grew up.....she then realises she has Male reproductive parts and changes her sex to John....who in-turn (start of the film gets blow up by the bomb) and has corrective surgery to become Ethan Hawke.
The reason he doesn't remember is because after every time-jump he loses his memory, thus cannot remember who or what he/she was.
The bomber is also himself. He became disillusioned by the job he had and thus also became the bomber he was after.
Regarding the baby.....
So....he kidnaps the baby (which is Jane/John/Hawke) and drops it off at the orphanage and so the Paradox begins.
And again.....
The baby is Jane....grows up to become John, after sex change....who in-turn time travels and sleeps with Jane (himself but while he was a female). Jane is pregnant with erm....Jane
