For the ones who have already been pregnant, they will tell you that traditional shaving can be difficult, especially in the last trimester. Most pregnant women will stop shaving until after their pregnancy, once it becomes too difficult to continue.
There have been no official studies as to the effects, if any, to an unborn fetus. The general census is that depilatories/hair removers such as Veet or Nair are safe if used as directed and to limit the amount of time the product is on the skin. These types of products are be used on the legs and underarms only. The amount of product that could be absorbed through the skin is very minimal. A stopwatch or some sort of timer should be used to help minimize the processing time.
Because of the increased hormone levels, the skin can become more sensitive than before becoming pregnant. If you are going to use a depilatory/hair remover, you should do a test patch 24 hours prior to check for any reactions on your skin. The room should be ventilated very well to reduce any vapors that may be emitted. When removing the depilatory/hair remover, cold water can cause the pores to shrink, thus reducing the amount of product that could be absorbed.
It has also been recommended that depilatories/hair removals be avoided during pregnancy. Waxing, tweezing or shaving would be the better alternatives if you choose to not use chemicals. Salons and spas can accommodate expecting mothers to assist with services. If you choose to use professional services check with the salon or spa as to the services they offer and if of the technicians are trained to work with expecting mothers. The other alternatives would be a more permanent treatment like electrolysis.
If you have any concerns it is recommended that you discuss the use of these types of products with your physician.