I'm not in that situation, but when I was pregnant I talked with my midwife about this topic (she wouldn't discuss it while I was sill pregnant, but later said she hadn't personally lost a baby). I think many good midwives would get their patient to a hospital before it becomes an issue, so while they might be there to support mom later, it wouldn't really be on their shoulders.
A couple of good things to read: "An Exact Replica of a Figment of My Imagination", a memoir of a woman's 40 week stillbirth, and the following radio program "A Midwife and her Patient: Learning from Loss" about a woman who chose to carry her anencephalic baby to term with support from her midwife. A Midwife And Her Patient: Learning From Loss
I've pondered the idea of adding midwifery, but I think I need to focus on one thing at a time.