In our home, we eat spicy food daily and my mother said it's fine, but my doctor advised keeping it mild because of pregnancy acidity. I balanced both and had no issues.
Actually, research shows capsaicin in chillies doesn't harm the baby at all. But my gynac said it worsens acid reflux which is already high in pregnancy, so eat in limit.
Look, chillies won't hurt your baby, but they will definitely give you horrible acidity. Eat them if you must, but don't overdo it unless you love heartburn.