Pump is fine up to 34weeks - make sure you tell your instructor you're pregnant and they'll tell you the relevant things you need to know. Not sure why the yoga class turned you away, some instructors don't have antenatal qualifications though so maybe that's why?

Swimming is fine, aqua aerobics is fine, pregnancy aerobics is fine, step is fine (again, tell the instructor you're PG) unless you get SPD symptoms... There's loads you can do, worry not!

Bx