This is something that women who are pregnant are very concerned about. If you're going to a spa vacation during the first trimester, you should avoid a lot of things from the Jacuzzi to the steam room, sauna, aromatherapy and any sort of therapy that applies pressure to the stomach. Opt for more gentle treatments during this time such as manicures, pedicures, head massages and facials. If you're over the first thirteen weeks, you can branch out into other treatments but not without consulting your doctor.
You should also consult your doctor if you're going to the spa after being severely ill, after having a surgery or still under some sort of medication. Some of the ingredients used in spa treatments can react with the medicine. Also, if you currently have or have undergone cancer treatment, make sure to mention it to your spa prior to arrival because some spas are reluctant to treat cancer patients.