What PZ said... I would think that given you are only going to be lying on your back for 3-4mins at a time, it shouldn't be too much of an issue unless it causes dizziness, pins and needles etc... BUT I would also consider getting back up again - you won't be able to pull yourself straight up, and rolling off the step might not be that easy from a flat position
Go with what your body tells you hun, it will know what it can and can't do. Another option would be to see if there is an instructor at the gym that is qualified or knowledgable in pregnancy exercise and ask them for their recommendation.

Well done on going to the gym!