If you are near Gilbert, I've heard there's a prenatal yoga class on Wednesday nights from 7:30 to 8:45pm at Gilbert Yoga. https://www.gilbertyoga.com/Class_Schedule.html
There's also prenatal yoga early Saturday morning.
I haven't been to either class though so I can't say whether or not they'll be good.
I'm still looking into fitness options myself so I would love to hear other people's responses too. Thanks for asking this question.