Being around burning candles with essential oils when pregnant

So our anniversary plans have been chucked out the window but I thought I'd book DH and I a massage at the really nice spa/beauty place near us. I've only gone there for waxing in the past but their couples rooms look incredible. My only concern though is that the place is always filled with beautiful smells from heaps of candles, incense and oil burners. I've avoided going there at all during this pregnancy and TTC cos I was concerned about the essential oils. Is it something I need to worry about? My hairdresser works from home and she normally has an oil burner or candle going but never has it burning when she has pregnant clients, but I think that's probably a bit much to ask from a business that specialises in the whole relaxing feel IYKWIM.

I'm really not sure of what is and isn't ok, so would love advice from anyone that does know. Thanks.

I'm not expert, but I'd imagine that the amount of essential oils' that you would inhale would be very tiny. I would ask that they not have essential oils burning in an oil burner in your treatment room but candles that are just scented (probably with synthetic fragrances) are fine.