This is from WebMD (there's also general advice on exercise there):
What Exercises Should Be Avoided During Pregnancy?
There are certain exercises and activities that can be harmful if performed during pregnancy. Avoid:
- Holding your breath during any activity
- Activities where falling is likely (such as skiing and horseback riding)
- Contact sports such as softball, football, basketball and volleyball
- Any exercise that may cause even mild abdominal trauma, including activities that include jarring motions or rapid changes in direction
- Activities that require extensive jumping, hopping, skipping, or bouncing
- Deep knee bends, full sit-ups, double leg raises and straight-leg toe touches
- Bouncing while stretching
- Exercises that require lying on your back or right side for more than three minutes. (especially after your third month of pregnancy)
- Heavy exercise spurts followed by long periods of no activity
- Exercise in hot, humid weather
- Scuba diving
It's not how tired you get, it's the type of exercise it involves. The idea is that low-impact aerobics is mostly suitable for pregnant ladies. Anything high impact carries a higher risk and is not really recommended.
There's obviously not any research done especially on the safety of zumba in pregnancy. So most people are simply expressing opinions. Personally, I'd err on the side of caution and jump right back into it after baby is here (like I plan to do, I'm a fan and long-time martial artist and currently on hiatus... I really miss my training!). But it's okay if you feel confident in your body too! I just wouldn't go around convincing other people it's safe as well, yet.