I'm a scientist and I also work in drug development so I know what I'm on about here... ;)
You can't run a study specifically on pregnant women unless you hit very specific criteria. But that does not mean this vaccine hasn't been tested in pregnancy.
When a vaccine is released, any and all 'adverse reactions' are reported and collated by professionals. This process carries on for many years. If issues are identified the drug/vaccine would be pulled (and it does happen, vioxx is an example .)
Anyway, an awful lot of pregnant women have had this jab and the safety profile is really good. It's a very safe vaccine. Before a vaccine is added to the schedule here in the uk it has to be passed by a number of expert panels and they only do that with a solid body of evidence behind them.
There is a LOT of shit on the web regarding anything medical. Lots. Tons. And it can sound very frightening and 'proper' unless you know what's what.
Flu, on the other hand, is nasty. It's nasty for a healthy adult (I had it and got pneumonia and I was early 30s and very fit.) it's more severe in pregnancy- during the last flu outbreak a disproportionate number of the dead were pregnant women.
The risk of having a serious adverse reaction to a vaccine is tiny. You can have a reaction to pretty much any substance on earth- some poor unfortunates can't touch water for example, but that doesn't mean water is inherently bad.
The risk of getting flu however, is quite large, as is the risk of getting very sick with it.
Ignore the Internet scaremongers. Listen to the scientific evidence. Have the jab.