Make sure you have a GHIC, and look up the nearest public health centre to your accommodation. In any holiday resort there will be signs up with smiling pictures of doctors or nurses, but they are private and your travel insurance may well not cover private treatment for pregnancy-related issues, since it's clearly a pre-existing situation, whereas the GHIC will pay for your treatment in the public health system. If you have an emergency and ask the hotel to call an ambulance or doctor, they will call a private one (because they get commission), so call 112 yourself and get a public ambulance, unless you are 100% sure your insurance will cover it.
Similarly, your travel insurance may not cover incidental expenses for the family, for example if they have to change flights or book additional accommodation if there is a pregnancy-related complication.
If by any chance both you and the baby's father were born outside the UK, and did not become British by naturalisation, then if the baby is also born outside the UK, they will not acquire UK nationality automatically, courtesy of the British Nationality Act 1981. You would have to register the baby under Section 3(2) of that Act. This will probably work, but it will be no fun at all. (As long as one of you was born in the UK, or naturalised to become a British citizen, this won't be a problem, but I thought I'd mention it because a family member got into a bit of a situation around this.)