I AM NOT A PROFESSIONAL, ASK YOUR DOCTOR.
Earlier, I asked Krav Lady (check out her blog, she's way more informative on the Krav side of things than I am) whether she'd considered how she'd train if she became pregnant.
This is not on the cards for me at this point. Anthony and I are both students, we've been dating for less than six months, and most importantly, my IUD has another four and a bit years to go. Getting that little sucker removed hurts (my last one partially expelled, and had to be pulled, if you're wondering how I know). I am not having it taken out until I have to.
Krav Lady asked Krav Mascara (Sarah Brendlor! Women only classes in London!) for her thoughts, as she's more experienced than both of us. She has twenty years of fitness training, eight of Krav Maga, and children.
I've previously read that, if women are already active when becoming pregnant, it's fine and healthy to continue exercising. Taking up new sports is not a great idea, but carrying on with running or swimming or whatever is okay.
Krav Maga is slightly different, as it's a close contact sport ('Krav Maga', in fact, literally translates to 'close contact'). I wouldn't feel right if a pregnant woman were holding a punch pad for me to punch or kick. Likewise, I'd be uncomfortable about sparring with someone in that condition. I don't know anyone who would be totally fine with it.
That said, if I were pregnant, I really wouldn't want to miss up to a year of training. It should be okay to keep fitness up with gentle cardio and calisthenics, but I'd imagine skills would rust. Unless you were able to gently practice on a partner, who wouldn't be able to practice on you, which seems unfair. You could take one-on-one classes, I guess, and Krav Mascara suggests watching Krav DVDs.
As I said, wondering about this isn't relevant to me right at this point in my life, but very useful to know.
I was like this at school, to be honest. For everything we learned, it would be "but what if -unlikely event- happened?!". Heh, I get interested in things.