I took Zumba up until the day I delivered. I actually participated in a Zumbathon (3 hours) at 38 weeks. As I got bigger, I naturally slowed down. I still did some high impact moves up till the morning before I went into labor. My pregnancy was not a high risk pregnancy, and I was very active prior to getting pregnant.
Definitely check with your doctor. I am a Zumba Instructor and have been doing it for 2 years now and am 19 weeks pregnant.
My doctor said if I was doing it before, I can do it now. The only difference now is I monitor my heart rate throughout the class. My students know if my rate goes up too high, I slow down and they can keep going at the intensity they feel is appropriate for them. Pregnant or not, I have always told my students to modify the workout to themselves and to "listen to their bodies".I even got one of my additional certifications for Zumba during my first trimester and although I was exhausted, it was ok.
I watch some of the Zumba videos on dvd or even at the Zumba Convention last year and I have seen many pregnant women who are far along and are dancing up a storm!