I've heard to avoid during 1st trimester, so if you think you could be pregnant at your hair appt., don't. Highlighting may be better than full color 'cause doesn't completely penetrate the scalp.
On the other hand, there are almost no reports that say color penetrating the scalp can affect the fetus. You should avoid the fumes though and do with lots of ventilation.
If you are pregnant, perm might not work though...your hormones could affect the results.
I've heard to avoid it when pregnant, but if you do it in the first part of your cycle, it should be OK :-)