Capsaicin is considered a class B drug in pregnancy:
Animal reproduction studies have failed to demonstrate a risk to the fetus and there are no adequate and well-controlled studies in pregnant women OR Animal studies have shown an adverse effect, but adequate and well-controlled studies in pregnant women have failed to demonstrate a risk to the fetus in any trimester.
In plain English, the main ingredient in pepper spray has not been proven to be safe, but is generally regarded as safe to use in pregnancy.
With that said, in high quantities, Capsaicin can cause death [pdf]. The mechanism of death is generally respiratory failure—due to the effect the drug has on the respiratory tract.