Soar, there is nothing to stop you burning oils. They can be bought in the shops so that answers that really. But you are right to be cautious and bear in mind contraindications.
As it happens Lavender and Rose are considered to be contra-indicated during pregnancy, though I have my own thoughts on that one!
I suggest you buy some orange or even better mandarin. These are lovely relaxing and uplifting oils and mandarin is particularly safe and recommended for pregnancy.
Put two drops in some water in the burner and enjoy.