In the very, very fine print on some chemical insect repellents there is a general statement that excess use of repellents should be avoided, as buildup can cause reactions in some people. Having said that, I live in the tropics and have never actually heard of anyone actually having a problem, pregnant or otherwise.

I personally avoided all repellents during pregnancy because a) I found this statement sufficiently vague to not want to use them, b) I don't use chemical repellents anyway because I am quite sensitive to the fragrances in them, and b) the essential oils used in natural repellents are all contraindicated for use in pregnancy. Because oils are more readily absorbed through the skin, it might actually be safer using a chemical repellent during pregnancy.

But to be honest, it's so unlikely that you'd have any problems, and if you live in an area with dengue or ross river virus, then you'd be better off with the repellent for sure!