Seriously??? That's insane!!! I've never heard anything like that before...who told you that pmsl. Crap my kids are going to be seriously angry adults then...wonder why they never warned us in Body Combat training!!!
Hun, first step...Dr, just to make sure you have no contraindications to anything. Then tell your instructor (every instructor if it changes). Make sure you don't get breathless or overheat, keep a sugary snack nearby incase you get lightheaded and drink plenty of water.
Generally if you've been doing something before you were pregnant then you can carry on as long as you modify it. If you are having a healthy pregnancy then there is no reason to cut out exercise you love