You can still keep fit by doing exercises like swimming, walking and pilates. I think you might be overdoing it, your body seems to be telling you to slow down. You will gain weight during pregnancy, so try to eat healthy stuff instead of empty calories. Ive had to stop playing netball due to it being high impact but i now walk every other day. This already tires me out, so id hate to think how you feel at gym. Try to move a lot, dont sit down for hours on end end get fresh air and sunlight. Theres not long to go, 3-4 months for some of us here, so i guess doing less intense workouts wont cause you to gain heaps of weight?
I still do almost everything i use to do besides back stuff and heavy heavy lifting. Just check your heartrate regularly :)
I've recently started going to the gym again after gaining some energy again after a very tired few months. I feel more energetic and stronger just after a few weeks. I do some light cardio, some strengthening and stretching. All moderate and gentler than before. I think it's just important to listen to your body, but not moving around for 9 months is going to do more harm than you can do in the gym imho.