Lanugo is a condition in which a foetus is born with fine hair on their skin. This occurs along with a waxy coating on the skin called vernix caseosa on the body of the foetus.
This usually happens to babies born prematurely. Don't assume it to be a medical condition, it is a natural and a biological response to certain conditions and stages of life.
Infants usually lose the hair as they grow so Henna and Thomas have nothing to worry about, the fuzzy prenatal hair will fall out on its own.
