Hi - check out the yoga academy http://www.yoga.co.nz/home.asp they are on Federal Street (behind St Matthews church). I went to their lunchtime ones when I was working in town, they were really good, but I found that working fulltime and trying to fit in the lunchtime sessions quite tough. I went twice a week for about 4 weeks.
The other one is the Yoga Centre up on St Benedicts Street, but dont know if they do pregnancy ones....might be worth giving them a call. http://www.yogacentre.co.nz/events.html