I have wondered this and looked into it but only a little. From what I can gather it's ok as long as the protein doesn't contain certain herbs so you really need to check the labels. According to Livestrong and babycenter sites, potentially harmful herbs in pregnancy include anise and ginger -- which could affect fetal hormones, as well as chamomile, licorice root, rosemary and sage. Protein drinks marketed for the sports crowd could contain arsenic, cadmium or lead. It also says to avoid ones that contain saccharin as it crosses the placenta. Another thing to consider is the amount of calories you take in, protein shakes contain quite a lot so thinking about normal diet just be wary about how much you have, perhaps no more than one a day. You can also make your own with avocado, nuts, peanut butter etc. Definitely check with your healthcare provider though :)
I would ask your Dr just to really be sure. That's what your Dr is there for. I don't see why it wouldn't be okay though.
I heard it's perfectly fine to have while pregnant and wont harm the baby