Lavender oil is fine during PG, although I have read a lot of warnings about using any essential oil in the 1st tri. You need to be careful of peppermint if you have a history of m/c. Probably best to dilute the oils with a carrier oil first perhaps if you're going to use them on your skin. I've heard the same as Ivana_baby as well - that using oils in a burner is safer than putting them onto your skin.

HTH!