This is a complete phrase that people say when they think they've figured out a surprise.
Sometimes, when people have a surprise, they don't want to tell you directly. They want for you to find out about it on your own based on little hints. When someone is giving you those kind of hints, and you guess what the surprise is, you can use this phrase.
The most common situation for this phrase has to do with getting engaged, like in the example above. Here's another example: Imagine that a husband and wife are talking to each other over dinner. The husband offers his wife a glass of wine. She smiles and says, "No, I'm afraid I'm going to have to give up wine for the next nine months or so." This makes the husband think that she's pregnant, so he says:
Oh my God. Does that mean what I think it means?