First of all, it should be clear that, though Hajj is a religious duty that a Muslim has to carry out once he/she is able, Muslim jurists state that ability in Hajj includes both the physical as well as the financial abilities.
Sheikh M. S. Al-Munajjid, a prominent Saudi Muslim lecturer and author, states: There is no reason why a pregnant woman should not perform Hajj. A pregnant woman is pure; she has to pray and fast. It is narrated in the Sunnah that Asma’ bint `Umays (may Allah be pleased with her) went out for Hajj with the Prophet (peace and blessings of Allah be upon him) when she was pregnant, and she gave birth at the miqat (the place where pilgrims put on the clothes of ihram). It was narrated that `A’ishah (may Allah be pleased with her) said: “Asma’ bint `Umays – the wife of Abu Bakr – gave birth to Muhammad at the Shajarah (referring to the place of miqat) and the Messenger of Allah (peace and blessings of Allah be upon him) told Abu Bakr to tell her to do ghusl (purifiactory bath) and enter ihram.” (Muslim)
If a woman has not yet done the obligatory Hajj, then pregnancy is not an excuse for her not to do Hajj, because she can avoid the places where there is too much crowding and pushing and shoving. If she is unable to throw the pebbles herself, she can delegate someone to do so on her behalf. If she cannot do Tawaf (circumambulation of Ka`bah) and Sa`i (walking between the hills), then she can do so in a wheelchair, and so on.
However, if trustworthy doctors tell a pregnant woman that going for Hajj will pose a risk to her or her baby because she is sick or weak or for some other reason, then she should be prevented from offering Hajj that year. This is indicated by the words of the Prophet (peace and blessings of Allah be upon him), “There should be no harming nor reciprocating harm.” (Ibn Majah)
Some doctors differentiate between early pregnancy, when there may be a risk to the foetus, and late pregnancy when such fears are groundless. Hence, it is evident that a pregnant woman can go for Hajj, provided that this will not endanger her life or the life of the foetus upon the consultation of trustworthy professional doctors. Also, if she plans to travel to Hajj by air, she should check the policy of the airlines, as some airlines will not carry a woman who is in her seventh month or beyond.

Allah Almighty knows best.