My grandma tried telling me that and I asked my doctor and he said it's not true!
So not true, don't worry!
It sounds like an old wives tale to me, plenty of pregnant women do yoga, pilates, swimming and even working out at the gym. Iv never heard of it but there is always someone to say something to restrict what you can do. Ask your doctor but i reckon its fine. (32 weeks with third child)
They say it can cause the umbilical cord to wrap around babys neck. I'm not sure if that's true though. Might want to ask the doctor.