They offer prenatal yoga at bloom yoga (https://www.bloomyogastudio.com/) in Lincoln Square. They have gotten good reviews on yelp so I am thinking of checking it out.
They also offer it at Be By Baby, you can call them or go to their website and request them to send you their newsletter with the info about it. And NW also has classes too. Both are cheaper than Bloom or other yoga studios in the city.
I know I'm late on my reply but I had to say that I LOVE LOVE LOVE Bloom Yoga. I had never done yoga before until I did the prenatal classes and fell in love. Dee is amazing and I became addicted. I actually miss my Sunday morning prenatal classes! It's just not the same.
Re: Prenatal Yoga in the city
https://galterlifecenter.org/
this is a great facility