I found this on What's good for You - Pregnancy Do's and Don'ts.

Taboo number eight: you can't dye your hair

This one's been doing the rounds for a while, that dying your hair can harm your baby. You'll be glad to know this one is false.

During a dying session, very little chemical is used, and it's certainly not enough to cause problems if it's absorbed by your skin.

Rest assured, if you can't live without your 'do' — you don't have to.