The traditional approach to an unknown risk is avoidance.

This means that a woman who continues regular, sustained exercise until the onsent of labor usually delivers five to seven days earlier than a woman with an active lifestyle who does not exercise regularly. What an incentive to exercise!

...in early pregnancy her ability to tolerate heat stress improves by about 30 percent and in late pregnancy by at least 70 percent. Indeed, when a woman exercises at 65 percent of her maximum capacity in late pregnancy, her peak core temperature during exercise does not even get up to the level it was at rest before she became pregnant.

Pregnancy does not limit lung function, and both pregnancy and exercise improve the ability of body tissues to take up and utilize oxygen.

[Recreational exercise] does not increase the incidence of either smaller than average babies or premature labor; and it actually may decrease the incidence of both.