8-9 months pregnant lady is allowed not to fast, if she is afraid that fasting would harm her or her baby, otherwise, she is not exempted.
With regard to the early pregnancy days (less than 8 months), the pregnant woman is not allowed to break fast, except if there was a real hazard that she could harm her self or her pregnancy.
In both cases, makeup the fast after delivery is must. But for the 8-9 months lady, she need to feed a poor person for each day in addition to makingup the fast.