I did Pilates before pregnancy as I had a trapped nerve and it helped with that. I stopped doing it for the first 12 weeks as I'd had some bleeding (nothing to do with Pilates) and I felt more comfortable not doing it. I'm back and I love it (25 weeks now!). It's isn't specifically a pregnancy class, just an ordinary one, but my instructor taught through both her pregnancies right upto due dates and she's fantastic. She adjusts the positions to tailor for my needs and shows me alternative moves when there's a position I can't do. She knows more about my pregnant body than I do & how to adjust so I don't ache as much! It has got a bit more difficult now I'm bigger as I have quite a bump already but it doesn't hinder me that much and I'm going to continue as long as I possibly can! I would highly recommend it, I feel great afterwards and I'm sure the benefits in the future are a bonus too.
I would suggest contacting a regular Pilates class and asking whether they cater for pregnant ladies too.