Having done trains across Indonesia, Malaysia, Thailand and Vietnam last year, I think you would be fine on the trains while pregnant. The sleeping cars and first class are cheap and rather good. (I assume you've seen seat61.com?)
There is bugger all to buy to eat on the trains, so frankly you would want to take your own food anyway. We usually had a loaf of bread and a jar of choco-spread from a Family Mart, plus lots of water and random junk food, just whatever was easy to carry and wouldn't melt in the heat (although all were air conditioned and rather more comfortable than the Tube in August).
We were TTC when we left (6 month RTW trip) so I asked about anti-malarials. There are some that are OK in pregnancy (there are LOTS of kinds) but different ones for different trimesters so get a proper recommendation. That said, as others have mentioned, it's easy to avoid malarial areas.
If you want to balance risk and adventure, southern Malaysia could be a good choice as Singapore (with all its lovely healthcare and lickable pavements) is just across the boarder and there are many beautiful, safe areas. You could ask on a Singapore expat board for resort recommendations?
Malaysia is also, frankly, my favourite of the 4 with excellent food, friendly people and good infrastructure in terms of getting around. We took buses & trains (and the odd ferry) from Singapore to Bangkok, stopping in KL, Penang and Phuket and it was all very smooth.
Penang (northern Malaysia) has both beach resorts and the World Heritage town of Georgetown, lots of culture and history. You can take the ferry into Thailand on a day trip, if you really want. I believe Phuket (Thailand) has good hospitals, and it certainly has lovely hotels to suit every budget. It's been cleaned up since the coup, apparently.
Malaysia has a greater mix of cultures and food prohibitions than the others, which means people are more likely to be able to tell you what are in dishes, and it's easy to find veggie food e.g. if you're worried about meat/fish/etc.