You need more oxygen during pregnancy, for many reasons but all related to the fact that you are growing a baby! So your oxygen intake increases, this can happen very early in the preg.
As you get bigger, your uterus puts pressure on your diaphragm, and you might feel even more short of breath.
But it is all normal.
If you have chest pain associated with it, or severe shortness of breath, then best get it checked out!