The problem is the heat. You're not supposed to let your body get very hot when pregnant, and a lot of hot springs set up for bathing, like hot tubs, clock in hotter than they should for safety during pregnancy. In fact, a bath at the proper temperature when pregnant feels a little bit cool or tepid. If you google it, you can find the number you're not supposed to be letting your body temp go above. The added problem with a hot tub or hot spring during pregnancy is also that, unlike a bathtub, not a lot of your body is sticking out (so there is not much natural cooling of the blood on the parts exposed to air), and the water also does not cool down rapidly as it does in a bathtub, so you tend to stay too hot for too long.
What Annie said. I've never been pregnant, but even I can't handle the heat of those things, so I know it isn't safe for a pregnant woman to be in those. In addition to what she said, the high heat will raise your BP. I will black out. Thinking about that happening to a pregnant woman, I can see that it would not be a good idea.
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