Name changed for obvious reasons.
I am married with two children under the age of 3. A week or so before I got pregnant with our eldest, my husband and I had a threesome with another woman. It was something we had talked about previously and were both curious about trying. It was fun, but not actually better than normal sex, and we had a laugh about it afterwards. Shortly afterwards I got pregnant with our first child and we didn't have much sex at all while I was pregnant. Our sex life picked up a little once I was through the immediate postpartum stage, but then when our first child was a year old I got pregnant again, and we are still currently going through a fairly dry spell. We have sex every now and then but it's not really a priority and frankly we are both too tired at the moment.
The point of all of this is to say that you can have a threesome as part of a long term, healthy, loving relationship based on mutual respect and love. But you have to both be on the same page. If one person doesn't want to try it, it doesn't happen. If you do it once and then one person doesn't want to do it again (I'm not sure whether I want to do it again but I certainly wouldn't want it to be a regular thing), it doesn't happen again.
It is very normal for a woman to have other things on her mind than spicing up her sex life when she is pregnant. It is also very normal for a woman to lose interest in sex altogether when she is pregnant (or for her to have a heightened interest in sex, everything is normal), and her partner should be respectful and supportive.
It is completely unacceptable for your husband to choose this moment (or any moment really, but especially this moment) to suddenly announce that he wants a certain kind of sex life which you are unable or unwilling to provide, and to hint that he might be forced to look elsewhere. You are pregnant with his baby. A baby you very much wanted and he agreed to have. A baby you were planning to raise as part of a stable family, not as a single mother.
Being pregnant makes you vulnerable. It makes you feel you need your husband more, both emotionally and financially. Last month, when you weren't pregnant, you could have walked away from your marriage with very few consequences. You could have walked away and started again on your own and never had to see your husband again if you didn't want to. Now you can't do that, unless you have a termination which I'm guessing you don't want to. (It's fine if you do want to, by the way. If this changes things for you fundamentally and you don't want to be tied to this man for the next 19 years then that is a choice you are free to make.)
Your husband knows that being pregnant makes you feel more vulnerable, more dependent on him, less able to walk away, less able to say no. This is why he has chosen this moment to announce that he wants his sex life to include sleeping with other women. This says a lot about him as a person, none of it good.