There's a lot that you can still have during a massage - the important thing is that your masseuse is qualified for pre-natal massage.
Definatley agree with this one as there are things your massage therapist should be aware of when doing pregnancy massages. The only only thing I would add is to make sure you drink lots of water following the treatment. During a massage your lymphatic system is given a good cleansing and toxins released so it's important to help flush these out by drinking lots of water. This is important after any massage but especially after recieving a pregnancy massage.