The EHIC is the new name for E111. Please please have one if travelling to Europe as they cover you for state health care in European countries. Please also check your insurance covers not only pregnancy complications but any baby born prematurely abroad and the repatriation of you both back to the UK/home country. Insurance should also cover day to day living and accomodation expenses. Please please also check out where the local hospital is, whether they could treat a baby of the gestation you are when you go abroad and if not, where you would need to be transferred to. Take your maternity notes.
This sounds like doom and gloom but I speak from experience. My second son was born very prematurely (at just 24+6 weeks) on holiday in the Canary Islands. My pregnancy was uncomplicated and my first son was late. I had my contractions stopped so I could be transferred by helicopter from Lanzarote to gran canaria where they could deal with a 24 weeker. We were out in the canaries for 8 weeks with our elder son (only 20 months at the time) until he was stable enough to fly home. Thankfully after a long and arduous year long hospital stay he made it home. He's now 2.5 and doing brilliantly all things considered but we are one of the lucky ones.
I'm sure everyone will be fine and safe on their travels but please just be prepared. I hate to think what would have happened if we didn't get to gran canaria on time or if our insurance hadn't covered our air ambulance which would have been tens of thousands of pounds.
I'm now 22+0 with our third child and am not venturing very far in this pregnancy at all!!