Apple does not list any risks related to pregnancy in the safety and handling instructions. The only medical risks listed are related to possible skin sensitivities and allergic reactions to the metal in the watch body and doing the workouts without medical advice.
https://help.apple.com/watch/#/apdcf2ff54e9
Medical conditions Before starting or modifying any exercise program using Apple Watch, consult your physician. Be careful and attentive while exercising. Stop exercising immediately if you feel pain, or feel faint, dizzy, exhausted, or short of breath. By exercising, you assume all associated inherent risks including any injury that may result from such activity. If you have any medical condition that you believe could be affected by Apple Watch (for example, seizures, blackouts, eyestrain, or headaches), consult with your physician prior to using Apple Watch.
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Skin sensitivities Some people may experience reactions to certain materials used in jewelry, watches, and other wearable items that are in prolonged contact with their skin. This can be due to allergies, environmental factors, extended exposure to irritants like soap, sweat, or other causes. You may be more likely to experience irritation from any wearable device if you have allergies or other sensitivities. If you have known skin sensitivities, please take special care when wearing Apple Watch.