According to CDC, pregnant women can receive a COVID-19 vaccine as the risk of severe outcomes from COVID-19 is significantly higher for pregnant women and their baby compared with pregnant women without COVID-19. World Health Organization recommends vaccination in pregnant women when the benefits of vaccination to the pregnant woman outweigh the potential risks. 

In their join statement, The Royal Australian and New Zealand College of Obstetricians and Gynaecologists, and the Australian Technical Advisory Group on Immunisation note that:

"Global surveillance data from large numbers of pregnant women have not identified any significant safety concerns with mRNA COVID-19 vaccines given at any stage of pregnancy. Furthermore, there is also evidence of antibody in cord blood and breastmilk, which may offer protection to infants through passive immunity."

For your reference, you can have a look at Episode #41 of WHO's Science in 5 where WHO's Chief Scientist, Dr. Soumya Swaminathan talks about COVID-19 vaccines, pregnancy, menstruation, lactation and fertility.

Receiving a vaccine is your personal choice! If you are unsure of whether you should get vaccinated or not, talk to your healthcare provider and discuss what can be the best option for your and your baby's health.