Spinning is great during pregnancy. The company do a leaflet here
I'm doing it now at 23 weeks with dc2, and did till 38 weeks with ds1, just had to raise the handlebars quite high to avoid leaning forwards on the bump! My bump was quite high, so didn't have issues of knees knocking it!
I go to a HR of around 150, which is no where near out of breath for me, and is about 80% of my non pregnant maximal HR RCOG pregnancy exercise guidelines state upper range of 60-90% of max HR to maintain fitness in already fit women. 60-70% of of max if sedentary prior to pregnancy. The 140 bpm rule was changed in 1994. My instructor suggested a max of 120, which I disputed, he's fine now that he can see I'm being sensible, take 2 water bottles in, don't do the all-out spints, and take regular breaks to get HR down again. Prob average 135 for over the whole class. Have fun!