I was like that with my first baby
I think alot of it had to do with the fact that I miscarried before I had her so the normal anxiety that you have when preggo about baby's health and the birth etc were very much heightened.
I wouldn't take the tags off her clothes or properly set up her room before she was born because I'd get these horrible thoughts in my head about coming home from hospital empty handed an having to face a set up nursery full of baby clothes....my mother was madly washing clothes and pulling everything out of boxes while I was in hospital.
I have no advice really, but I think it's fairly normal. Once she was born I was fine, and I never felt like that when I was pregnant with DS (even though I miscarried before him as well...)