“Can pregnant women go to the gym?”

Absolutely, pregnant women can go to the gym. However, hopefully a woman has a consistent and well constructed exercise regimen PRIOR to pregnancy that she can continue. I would not recommend starting to lift weights, for example, during pregnancy. Light weights (such that there is no "bearing down") would probably be fine, but heavy weight lifting would not be a good idea. Walking is great, swimming is great, continuing most pre-pregnancy exercises for which there is already conditioning are the best approaches to staying fit and moving well while pregnant, in my opinion.