Moms used to be advised against breastfeeding during pregnancy. People told them it increased the risk of miscarriage, increased the risk of preterm labor, and that the fetus might not receive enough nutrition. As it turns out, none of those things are true.
In reality, these are the only known risks of breastfeeding during a low-risk pregnancy:
Nipple Pain: Remember how sore they were when you were pregnant? Now someone will be sucking and tugging on them.
Nausea: A small number of moms find that breastfeeding makes them nauseated. Others find it helps their morning sickness. It's a gamble.
Supply Issues: Your milk supply will drop during pregnancy, and baby might not always be satisfied by nursing. You can make up for this by adding more solid foods to baby's diet.
If you have a history of miscarriages or preterm labor, talk to your doctor. There was concern in the past that the natural contractions that can occur during breastfeeding put the mom and fetus at risk for preterm labor or miscarriage. This has been shown to not be the case for normal pregnancies. The only time that weaning is recommended for this reason is if mom has been put on "full pelvic rest" — meaning she's been told to refrain from sexual activity because she's at risk of preterm labor. Sexual activity results in much stronger contractions than breastfeeding does, so if your doctor says that sex is okay then breastfeeding should not be a problem.