This is a very old superstition which states that what a pregnant women experiences can imprint on the baby - was prevalent in the middle ages right up to the Victorian era (and obviously beyond). It's utter rubbish, of course...
As others have said, it comes from the concept that what a pregnant woman does with imprint on the baby. The idea is found in a lot of cultures, actually, even these days - a lot of people will say things like there baby/child likes X food because their mum ate a lot of it when pregnant or people who try to play a particular type of music while pregnant in hopes of making the baby a fan. I haven't heard it against horror movies, but I do know of women who try to do more good deeds/give more to charity/go to holy sites while pregnant in hopes of passing on good traits to their child.
My sister told me not to watch horror films whilst pregnant with DD...it was really hard because I love horror films, and I did try to watch happy things to keep myself positive and happy! Anyway, I don't get time to watch horrors these days with this pregnancy - we've had Tangled in the DVD player for the past 2 months now thanks to DD :D
TBH, Paranormal Activity 2 isn't even scary. It's just like watching CCTV footage for an hour. Part 1 was the scary one!
While I don't think it's bad to watch scary films, I have to say that I'm a lot for sensitive to things now, and there are a lot of things that I won't watch, mainly as I do think they'll make me physically sick and give me nightmares. This pregnancy thing is very bizarre sometimes!
Thanks for the reminder about Alien...DH has bought the blu-ray box set and is planning a marathon this weekend..though I don't think Beauty and the Beast will be an acceptable alternative.