I bought Valerie Ann Worwood's book "The Complete Book of Essential Oils & Aromatherapy". Vast wealth of info in the book with a large chapter devoted specifically to women. In her book she states: "These are the essential oils you can safely use during pregnancy: Tangerine, Mandarin, Grapefruit, Geranium, Chamomile (Roman), Rose Bulgar, Rose Maroc, Jasmine, Ylang-Ylang and Lavender. You can use the oils in a bath, shower, as a massage, or in one of the room methods." In the next paragraph she goes on to say "When you are pregnant you should always use the minimum quantities shown" (This is in reference to a chart at the beginning of the book that specifies the range of oil to use for various methods).
In researching EO's safe for pregnancy, I found many authorities vary on their opinions. Many disagree with Ms. Worwood and eliminate some from the list, or add some. The main point of agreement I've found in all is they can only guess at the potential side effects as no pregnant woman will allow themselves to be used as guinea pigs!