Depends on the situation and who you're with I guess. Could you confide in the hen so the pressure's off? For drinking I'd say have a quiet word with the hen - either tell her the truth or tell her you have terrible cystitis and ask her to keep it quiet. Try to drink mixers so people assume it's a G&T or something. Not sure about jacuzzi and sauna - you could say you feel unwell but it might cause a scene. Or just say it's not your thing (claustrophobia / hate wearing swimsuit etc.)? Can you opt in to some parts of the do and out of others? How raucous do you think it's likely to be on the drinking front.
BTW what's the link between saunas / jacuzzis and pregnancy risk? I have never understood it.