Congratulations on your pregnancy, firstly.
Why is your current location stopping you from buying property, saving money etc? Surely you can do these things wherever you are?
If you want to stay with him (although I would highly recommend re-evaluating your relationship - do you really want to be with someone who treats you this way?) Then you need to find a compromise where you are both happy.
Is his ex likely to move even further away from where you want to be? It might be that she moves closer to that area in which case your DP might be more inclined to move too.
You can't force him to go anywhere, it has to be a mutual decision, otherwise he'll just resent you and the situation, and your relationship will fall apart.
And if you stay where you are, you'll resent him for it.
So you've got to meet in the middle, or make a decision over wether you want to move by yourself to be closer to your family.
If you're not on the same page and neither of you will budge, I doubt this relationship will work out, frankly.