I hate to say but no your not entitled to much, I graduated this year about 2 weeks before having my baby so was pregnant in my third year also. Other than my student loans I received nothing and actually still haven't. I came on here to ask others advice and saw this so had to reply.
My baby is 6 weeks now and I got refused for the Surestart grant as I'm not on income support, having been a student for 3 years, when I tried to get income support they said I wasn't entitled to it and instead had to apply for Maternity Allowance, which is wrong I'm sure, since you have to have worked ( I only did cash in hand work) and according to the leaflet that comes with it, you have to apply before the baby is born, or the week following, so the fact my baby is six weeks worries me, I have just sent the form off and will see what they say.
I have to be honest being a full-time student and pregnant is difficult as the other replies mentioned there is no specific financial help sadly. You may be able to get a bit of cash from the uni's hardship fund, but the government don't offer anything.
If you were a part time student you could get housing benefit, but not if you are full time, which annoys me alot, since a full-time course is full time and so why should you have to work evenings/weekends just to afford to live, when you have so much uni work to do, my uni work definitely suffered because I had to work all the time, the student loans just don't cover rent, yet if you do a part time course surely you could get a job in between to pay for your rent- its really odd how they work things out here and illogical, but anyway sorry to rant!!!
So really there is not much at the moment you can get, being a student entitles you to hardly anything. But don't do what I did and apply for a £500 surestart grant unless you are on income support or jobseekers you won't get it, (Though surely if you are pregnant you can't be on jobseekers -who would employ a pregnant lady?) Maybe try to apply for maternity allowance, though on my form it didn't mention what to do if you were (or had been) a student.
Once the baby is born you will be entitled to more, child benefits, tax credits maybe and housing benefit, though again if you are technically a full time student when the baby is born you may find it difficult to get any benefits- I hope your baby is due at the end of the uni year like mine, so then you won't be student anymore and will therefore be entitled to more, Its also worth going to citizens advice if your still unsure
Good luck for both uni and the baby x