No real evidence to suggest that it is dangerous as far as I know. I'd do it if I were you (but I am very vain and since I discovered people thought my hair was naturally the colour it is, never allow myself to get roots )
I am 5 weeks pg today and I dyed my hair yesterday. I also worried about whether it was safe but I cannot find a scrap of evidence that it is harmful. I use Root Touch-Up (to cover greys!) and only put it around my hairline and parting this time - so only a small amount used (I think less than half the amount in the pack). I'm really vain about my greys and would be mortified if people discovered them - I've been hiding them for years! You can't give up everything when pregnant or life would be pretty miserable.
I think a lot of the things we are told to be cautious about in pregnancy are simply things which are "un-tested on pregnant women" so that's why no-one's ever going to say, sure go ahead it's completely safe. They don't know one way or another. You have to use your own judgement I guess.