From the CDC website:

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We do not currently know if pregnant people have a greater chance of getting sick from COVID-19 than the general public nor whether they are more likely to have serious illness as a result. Based on available information, pregnant people seem to have the same risk as adults who are not pregnant.

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However, we do know that

• Pregnant people have changes in their bodies that may increase their risk of some infections.

• Pregnant people have had a higher risk of severe illness when infected with viruses from the same family as COVID-19 and other viral respiratory infections, such as influenza