Ok, I'm no medical expert or anything, but an embolism? I haven't heard that before and can't see it as being physically possible? The air would somehow have to make it into her bloodstream and unless you used some sort of non-biological implement (an industrial strength vacuum cleaner on reverse perhaps?) I don't think the air would make it that far.
The release of air from the vagina can happen in some positions... Can't really remember if it's happened to me before, but I wouldn't think anything of it if it did.
I'm sure everything is just fine with the pregnancy. I've always been told that intercourse is safe for most people during pregnancy - the only reason I'd worry was if there was any bleeding.
All the best for the rest of the pregnancy