I can't comment on the health risks of a pregnant woman shooting, but I'd recommend shooting at an outdoor range.
I'd also suggest that w/o a suppressor, any firearm has the potential to damage your baby's, yours, your wife's, and any intruder's hearing, pending location w/in the home.
I did the same thing 3yrs ago, when my wife was pregnant with our first. I felt this overwhelming instinct to get better prepared to protect my family. This started the addiction that is firearm ownership.
I learned that any handgun/shotgun/rifle is useless when someone won't take the time to learn how to use it. (Though, it gives me the excuse to buy at least one of each.
I bought a 9mm handgun, thinking it would be quicker and easier to grab and get upstairs to my kids' rooms than either of the other two options. The wife is afraid of it ("too big and loud"), and refuses to learn how to use/shoot. If I'm not there, it's not worth a darn, and possibly a liability, if an intruder gets it.
I bought a 12ga pump shotty, thinking it's oft-considered the universal HD gun. My wife would use it, but she won't take the time to learn how to work the release in order to "pump it". Nor, does she know how to load it.
Rifles just got more complicated.
Finally, I bought a Walther P-22 for a plinker, and all of a sudden, it's "her gun". Now, would I trust it to save her life? No. But, I like that 1) she's willing to shoot it, 2) she's willing to learn how to use it, and 3) it let's her check off rule 1a of a gunfight (Have a gun). Granted, it likely violates 1b (Have enough gun).
Lesson learned? unless you want to spend $1000's on firearms at the chance your wife won't learn how to shoot, get her involved in the search, and make sure she's onboard with learning. Now, you may WANT to spend $1000's on firearms, but I still recommend getting your wife's buy-in.