Yoga is a means of relaxation--so you don’t need to push yourself, which can be detrimental to a pregnancy. Avoid yoga practices that require a hot environment, like Bikram or Hot Yoga. Those can cause hyperthermia in expecting mothers.
You’ll also want to avoid poses where you lie completely flat on your back or require abdominal stretching. Finally, if you’re at risk of premature labor, you’ll want to avoid yoga. All in all, it’s important to consult your doctor before starting any practice.