If possible, mention to your gym that you're preggers.

Don't push heavy weights, and keep your heartrate low. Someone qualified at the gym should be able to advise the correct heart rate range for your situation.

If they have pilates / yoga / bellydancing classes, they're all good in pregnancy Just let the instructors know, specially for yoga.

And then find out what you need to be able to put your membership on hold, ie a letter from the doc at xxx weeks.

good luck!