If it turns into cellulitis (infection of the skin) there are antibiotics that are pregnancy category b that you can take to treat it. just avoid bactrim which is a common cellulitis antibiotic that's category c. I would go show it to your doc asap if you think it's infected and especially if you have a fever. Most Cellulitis infections aren't blood stream infections to start. It can spread to the blood if you wait too long though. Don't worry... Infections like uti are common in pregnancy and easy to treat with antibiotics And they don't hurt the baby as long as you get treatment as soon as possible.
Being warm and itching are just what a bite feels like. It's the chemical reaction under your skin. Unless you have a fever, the bite is pussing, or you are having serious symptoms, then it sounds like you just have a bug bite. Use some itching cream and try not to scratch it.
Re: infected mosquitoe bite