How could Reese have the photo of Sarah Connor that was taken with her pregnant with his child? That photo he fell in love with? It was the same exact photo that was taken at the end of the film. That photo could only exist after he went back in time. So that would be indicative of a circular time loop... Reese was always the father of John Connor. The photo proves it.
I believe that Sarah gave John that photo of her pregnant with him at some point in their lives. Then John gave it to Reese (possibly the only remaning photo he had of her? and because it depicted Sarah at the age the Terminator was sent to kill her). But, yeah, I remember he used to look at the photo to calm himself, IIRC. Will have to rewatch it soon.