You don't necessarily need "pregnancy" fitness classes. Any type of yoga or pilates is fine. Also, water aerobics is perfect whether you're pregnant or not. You could even do spin classes...but only if you've BEEN doing this previously.
Do you guys have an LA Fitness in NY? It's a huge gym chain down her in Florida, and they have TONS of classes to choose from (including swimming). If I were you, I'd go to the biggest "franchise gym" in your area and ask for a list of their classes. Then, decide what you think will be a good fit for your schedule and fitness level. When you join the class, tell the instructor that you're prego, so they can alter any kind of funky moves or positions for you during the workout.