Being pregnant does not protect someone from being dismissed. It does make it harder though as the reason for such a dismissal can't be due to them being pregnant.
If in their first 12 months however, dismissal is a lot easier... as they can't claim unfair dismissal - though can claim Wrongful Dismissal.
Dismissing Employees (PDF) - this is possibly a useful read. It's 4 pages and gives some basic information about fair and unfair dismissal.
We have had our nanny for 6 months now
So can't claim unfair dismissal unless on grounds of pregnancy.
She has been late on a number of occasions
Did you issue a verbal warning, a written warning, a second written warning?
Did you discuss with her about why she was late on each time - such as was it to do with pregnancy?
and was even late for the interview.
Yet you still hired her 
Being late for an interview in my view would usually result in someone not getting the job, as reliability is a very important thing in nannying.
We have now given her a verbal warning.
For what? On the latest occasion of being late?
At least you have started down the disciplinary procedure. So next time the same thing occurs you can issue a written warning.
In addition to this she is now not responding to some instructions. I have requested a menu and shopping list be left and she has only done this on one occasion out of 4.
I presume menu planning and producing a shopping list is part of her duties as stated in the contract. If so, then discuss with her why it has happened. Give an opportunity to improve. Issue a written warning if it does not improve.
She has refused to empty the dishwasher
Refused, or just not gotten around to it?
This sort of thing whilst being annoying, it may not be worth getting uptight about... as a lot of give-and-take is involved in the relationship between a nanny and their employer. If the dishwasher needs unloading and someone has the time to do it... they do it. If the dishwasher is half-ful, no point in it being put on until it is full.
I have come home to an absolute mess in the kitchen.
Did you discuss how it happened to be left like that? Maybe there was a reason such as baby suddenly became very demanding. What takes priority - the child or the kitchen? Nannies often have to make priority judgements and the children are number 1, they always come first which can mean other things get a bit slack.
We have now provided her with a copy of her duties which was in her contract.
Always useful to remind someone at a disciplinary meeting what they did originally agree to do. Though can sometimes backfire in that they then stick to it 100% and don't do any of the things not mentioned in it! As I wrote earlier... it's a give-and-take relationship, sometimes flexibility is necessary - such as dealing with overflowing drains (that's probably not on your list of duties, though you probably don't want to come to a home flooded with sewage).
We had to suspend her during her first month and the letter which we had filed has gone missing from our cabinet in the office.
This is a separate incident, deal with it in isolation. Why you had a copy of the latter I'm not sure... how you found the letter I'm not sure.
We also put down a stipulation that she be ofsted registered which I cannot now do as she is pregnant.
How does being pregnant stop her from being Ofsted registered?
I am at my wits end not knowing what to do and feeling trapped as I cannot just severe her contract which I would have done ordinarily.
You could terminate the contact as per usual, by giving notice under the terms of the agreement. May be wise to have a quick chat to ACAS and/or legal helpline (ask your home insurer for the number if it's not in your policy) to check that you can give notice as per contact terms even though she's pregnant.
Also worth posting on Legal Board about that, as some mumsnetter's may know the situation.
The key thing I know is that you can't dismiss for a pregnancy related reason (opps, just spotted that you have started a thread there
)
Our son is now hitting me when she comes in on a Monday morning and doesn't go to her for some time.
That is not normal behaviour. It can be tricky sometimes after a period of separation - such as going on holiday - but shouldn't really be an issue if just a weekend.