I would go on holiday at 33 weeks (am 35 weeks now) but nowhere that involved a flight or very long car journey, nor anything that would require me to rush around keeping them entertained/ safe more than I would do at home... Depending on the ages of your kids and budget somewhere Centre Parks or holiday park like, or a UK countryside holiday, or alternatively a "holiday at home" with days out to whatever is age and interest appropriate to your DC - whether theme parksor petting farms, zoos, museums, theatre/ cinema etc. if your DH is prepared to do the running about and going on rides with the DC, could be just as enjoyable for them.
You could go abroad safely if you stick to destinations with good health care systems (plenty of places have better health care than the UK...) and don't stay off the beaten track, but as there is always the tiny chance of premature labour you wouldn't want to be stuck in a foreign hospital, no matter how good the care, for weeks and weeks due to being far from home and the expense of DH and kids staying there with you or the choice of being separated from them if they had to go home without you and baby if insurance didn't cover them staying until you got out!
I live overseas but wouldn't travel back to the UK during pregnancy for the reason just mentioned - not the available health care but the not wanting to be far from what is home for me, and from my older kids, if baby came early.
SO yes holiday, but within maybe a 3 hour drive of home - you can still make sure your older kids don't feel deprived of a holiday. We went to Austria so DH and DC1 could ski when I was 28 weeks but it is only a 3 hour drive from us!