Yes, you can. After a certain point, there is no laying on your back and other modifications which your doctor can discuss with you.
I did weight training daily along with dog walking and it was the best thing I ever did, because when I went through a very rough labour (3 days, shoulder dystocia), my endurance and fitness helped me deliver naturally as almost all women would have needed a C section before that point.
Good luck! It's about more than just keeping the weight gain down but it can have major benefits for your baby too!