Yes. Obviously there are limitations before engaging in (or continuing) any form of exercise when you are pregnant. Before attempting prenatal exercises consult your OBGYN an make sure to discuss it with your trainer. Pilates can have great benefits for pregnant woman because exercises strengthen your core muscles and help you focus on breathing, both of which are crucial during delivery.
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It depends. If you have already been doing them for quite some time and your body is used to it, then yes, but take it a bit easier than usual. If you have not and are trying to avoid the weight gain, but not MAINTAIN the shape you are currently in, it is best not to push your limits while pregnant.
There are a lot of other safe ways to stay in shape, and you might even be able to find classes around your town specifically geared toward pregnant women.