Praise be to Allah.
Allah, may He be exalted, says (interpretation of the meaning):
“And your Lord says, ‘Call upon Me; I will respond to you.’ Indeed, those who disdain My worship will enter Hell [rendered] contemptible”
According to the hadith narrated by an-Nu‘maan ibn Basheer (may Allah be pleased with him), “Supplication is worship.” Narrated by Abu Dawood (1479); classed as saheeh by Shaykh al-Albaani in Saheeh Abi Dawood.
So it is befitting for the believer to offer a great deal of supplication at all times, and to seek out the times when supplication is answered, for then it is more likely to be answered. See the answer to question no. 22438.
After researching the matter, we could not find any evidence to suggest that the supplication of the pregnant woman is answered; rather she is like any other woman, unless what the questioner meant by pregnant woman was referring to the time of labour and delivery, for that is included in the general meaning of the evidence which indicates that supplication at times of hardship and difficulty is answered, as in the verse in which Allah, may He be exalted, says (interpretation of the meaning):
“Is He [not best] who responds to the desperate one when he calls upon Him and removes evil”
Undoubtedly the woman in labour is in one of the hardest and most difficult of situations, so it is more likely that she will receive a response. For more information on the circumstances in which supplication is answered, please see the answer to question no. 22438.
Shaykh Ibn ‘Uthaymeen (may Allah have mercy on him) said concerning the situations in which supplication is answered:
… Another such situation is that of distress. Allah, may He be glorified and exalted, answers the one who is in distress if he calls upon Him, for it is known that the one who is in distress calls upon Allah with sincerity and humility, and believing that Allah is able to relieve this distress, and that is why the supplication of the one who is in distress is answered, even if he is a disbeliever, as Allah, may He be exalted, says (interpretation of the meaning):
“And when they board a ship, they supplicate Allah, sincere to Him in religion…”
End quote from Fataawa Noor ‘ala ad-Darb.
And Allah knows best.