Your baby pumpkin was not pollinated and will shrivel and fall off. If it had been pollinated(by you or insects)it would have continued to grow and stay green until it matured and turned orange. The blossoms are only open for a short time, so there is just a small window of opportunity for pollinators. HTH

TieMint, Many flowers such as this one will not open to be pollinated. Yes it is natural. I would say about 25% of mine do not open to get pollinated. Some just don't or the plant is not strong enough to support it yet so it aborts. This year with the drought it has been especially so. It is disappointing especially if you only have a few vines. To give your plant a chance to support more pumpkins pile some good dirt under the vines where the leaf intersections are, they shoot down roots there and this will give more nutrition to this part of the vine. I usually do this also under the vine where a new pumpkin will form. Good luck on the next one and don't feel bad.