@Mindthegap6
YANBU. If there were seats in first class, then it wouldn't have hurt him to have let you pop your bum down there.
'Being pregnant isn't an illness' really boils my piss.' For some women, it's one of the most uncomfortable, miserable, sometimes painful, awkward times of their life. From baby squeezing your internal organs (squished bladder anyone; just had a wee 5 minutes ago, I now need another one!) to just feeling 'bleh' and miserable and hot and dreadful!
I know some may disagree, but I think a pregnant woman needs extra care and fuss, and I would have given up my seat for you in a heartbeat, and stood up. I am not saying people who wouldn't do that are bad people, or that I am better than them, (and I'm not virtue-signalling,) I am just stating a fact; that I would have given you my seat.
I suppose you could have offered a tenner (or £15 can't remember) to upgrade to first class. Did you know about this, did he offer, maybe you couldn't afford it, I dunno, but yeah he was being a jobsworth and I am sorry you were treated this way.
Hope the rest of your pregnancy goes well, and congratulations!
Hope you don't encounter many more twats along the way.
You could complain about him, (and maybe do try,) but I doubt anything will be done, especially as I don't think he actually did anything wrong! He was rude though 
Reading through this thread, it sounds like a few people with the same arsey grumpy attitude as that conductor are on here. 'You are ONLY pregnant not ill or disabled,' 'I don't wanna sit near pregnant women and their ghastly toddlers when I have paid for first class,' 'you are ONLY so many months pregnant,' 'you sound entitled.' Just bore off. People like you make me sick. 
All the best OP. 