Ok I am a fully qualified stylist and it is completely safe. There has never been any conclusive evidence that says coloring your hair during pregnancy is harmful to you or the baby. I have actually colored my hair twice in my pregnancy so far, and probably will again.
However it is true that due to the changing hormones some colors may not take at all or may come out a different color. It is best to avoid lightening products, as these are most likely to go wrong. But if you are worried just be in a well ventilated area
I'm in cosmetology school and when I asked my teachers they recommended not doing it at all. They don't even let me near the dye without gloves and a mask.
If you do decide to do it. I recommend going to a salon and avoiding box dye. And because of change in hormones your skin can react different to the dye. So just be careful !!
Do it in a well ventilated area!
Use henna.. It's natural and no chemicals
Yes just be somewhere well ventilated and test a small strip first since pregnancy can sometimes make the color mess up
Do not dye it your self if your not going to do it professional I would suggest doing it outside