There are most definitely some EO's that are unsafe for use by pregnant women (just as some cannot be used when you have certain medical conditions). Some can actually stimulate the uterus, so it is very important to know what the indications are for the one(s) you are planning to use. You most certainly can make a lovely bath blend with relaxing oils that are safe, you just need to know. One of my most favorite sites to refer people to, because they clearly state the warnings, as well as the indications for use, is
http://www.botanical.com/products/aroma/ess.html For more info on each oil you just click that oils "more info" link, but they have a key on the main page so you don't have to waste time if you do not wish to.