I think the risk, if any, greatly depends on whether your hair dye has bleach or ammonia in it. If the instructions say you have to mix different liquids together, then you can bet your bottom dollar one of the liquids contains bleach or ammonia. As far as I'm aware, all semi-permanent and permanent dye processes include this mixing element.
The reason it can be dangerous is as follows (according to a lengthy conversation I had with my hairdresser): The bleach/ammonia makes your hair more porous so it accepts the colour better. Unfortunately, this also means the chemicals can more easily enter your bloodstream, so IF they are harmful to your or your baby, you are more at risk.
I have seen recent newspaper reports saying research has shown that women who regularly dye their hair using bleach or ammonia are more likely to develop a certain form of cancer - I think it was bowel cancer. This was why I questioned my haridresser so closely.
If you look at the packaging on boxes of hair colourant - permanent and semi - you will often see the message 'contains no bleach'. This is, I am told, not strictly true. One of the 'mixer' bottles always has some bleach-like substance in it, in order for the colour to 'take'.
My hairdresser was well aware of the research and said so were many in her profession. I asked her if there was any way of dying hair permanently, at home or with a salon treatment, without running this risk. She said not, unless you use vegetable dyes, but they are not so permanent. Don't know if this includes henna, though.
Hope this helps, and doesn't cause panic!