hi - I'm no expert, but as far as I know some Pilates can be done while pregnant, but you have to be careful. I haven't done any for ages (shame!) and certainly not since I've been pregnant, but have just got myself a pilates in pregnancy DVD to make sure I don't go wrong. plan to start using that tomorrow.
Also, the Body Control Pilates book I have says that because of the hormone changes softening the ligaments joints may become unstable, so need to pay particular attention to alignment. And it recommends abdominal work is limited to gentle transversus abdominus strengthening. It says yto avoid exercises that put any pressure on the pubic bone, and to stop exercising completely between weeks 8 and 14. It says that the following exercises are OK during pregnancy (after consultation with medical practioner - I guess that's their backs covered) - don't know if these mean anything to you, maybe not if you don't use the Body Control pilates? Anyway, here's their list: standing correctly, table top, pelvic stability, shoulder drops, neck rolls, dumb waiter, floating arsm, corkscrew, pole raises, starfish, side rolls, ankle circles, cherry picking, arm openings (with added pillow between kness and under bump), the flower (sitting), up and down witha tennis ball, adductor strength, and pillow squeeze.
Phew! Sorry to go on, and sorry if t hat doesn't amke sense, and good luck!