Infected pregnant women are more likely to develop respiratory complications than women who aren't pregnant. Also, some studies suggest that they are more likely to have a cesarean delivery or deliver a baby prematurely due to Covid-19. It, however, is a rare occurrence.
In case you contact someone who has Covid-19, reach out to your gynaecologist and get the RT PCR test done. Do not panic even if you test positive. Consult with your doctor or gynaecologist, and they'd suggest ways to stay safe.