I have to admit I am on the over cautious side with mysterious me, though not for quite the same reasons. I think most essential oils are safe during pregnancy, they won't cause a miscarriage or deformities - the generally used proof oils are safe during pregnancy.
Even so I won't use essential oils during pregnancy (and I am a fully qualified aromatherapist). Essential oils are chemicals, natural chemicals (assuming oils are not adulterated), but they are still chemicals. They are also chemicals that can pass through into the blood, and into the brain, and through the placenta to the amniotic sac. The everyday chemical overload the foetus is exposed to due to everyday living (eg mother filling up at a petrol station) is HUGE these days. Why add more chemicals to the chemical cocktail, even if they are natural? Plus sooooooooooo many prenatal, postnatal and baby products contain essential oils these days (maybe essential oils of questionable quality and sources) I don't want to add to the exposure.
Check [link=http://www.ewg.org/reports/bodyburden2/]http://www.ewg.org/reports/bodyburden2/[/link]for the chemical burden everyday life exposes a foetus to.
The foetus is in an enclosed environment, other than blood, body waste is excreted into the amniotic sac and reabsorbed for continual exposure, much much longer than someone is exposed to essential oils after a treatment when they are broken down by the liver and flushed out by the kidneys.
I will use essential oils during pregnancy to treat conditions, but usually that will be for a short term, not a regular treatment during pregnancy. Pregnancy itself is not a condition that needs to be treated, massage alone can ease many of the common discomforts of pregnancy.
My other concern, and this much smaller than the total chemical exposure, is all the research on safe during pregnancy - it almost all relies on the baby is healthy when born, therefore it is safe. There aren't any studies done about fertility issues of woman who were exposed to essential oils in vitro, no studies about liver conditions of people exposed to essential oils in vitro - no-one does those. Chemicals like Agent Orange may only show up at puberty etc. and even in the grandchildren of those exposed. I don't think essential oils would be as devastating as something like Agent Orange, but there is no research on the long term effects of exposure in vitro to essential oils, everything is "baby healthy? tick ==> safe".