From the CDC website:
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.
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