Prince William, 30, made the quip last evening as he went solo for the first time since the pregnant Duchess of Cambridge, also 30, was discharged from hospital.
He attended a glittering charity tennis gala, the Winter Whites Gala, held in aid of homeless charity Centrepoint, at the Royal Albert Hall in London, the Daily Mail reported.
He was due to be accompanied by the Duchess, but she is resting after suffering from hyperemesis gravidarum, an acute, and potentially dangerous, form of morning sickness.
The Duke of Cambridge, who is patron of Centrepoint, was congratulated by many on the news that a baby is on the way.
Speaking to Michael O'Higgins, the former chairman of Centrepoint, the Duke joked about the inappropriate name of his wife's recent illness.
"I don't know why they call it morning sickness, they should call it all day and all night sickness.
It's a long old process but she is getting there. She feels like it is going to go on forever," he said.
Prince William, looking smart in black tie, joined tennis greats John McEnroe, Bjorn Borg and Boris Becker as well as celebrities including Sam Branson and Sadie Frost at the event.
The event ended with William presenting the Centrepoint Great Britain Youth Inspiration Award to Novak Djokovic.
The Duke and Duchess of Cambridge delighted the world this week when they announced that Kate was pregnant.
The couple were forced to announce the eagerly-awaited news after Kate was admitted to King Edward VII Hospital in London on Monday after she fell ill at her parents' house in Bucklebury, Berkshire.
She was put on a drip and spent three nights in hospital.
Kate returned to Nottingham Cottage in the grounds of Kensington Palace and cancelled upcoming engagements to rest.