My neighbour did Aqua aerobics right through both of her pregnancies, we use to do classes with a pregnant instructor

congratulations on the pregnancy, btw, I personally found that exercise or not made no difference to any of my pregnancies.

Good luck with everything and just have a chat with your doc about it for reassurance and as melbo said, tell the gym about it. Sometimes in the local paper they have classes especially for pregnant woman, yoga ones I've seen.