Yes. You can go to a haunted house. You should not ride roller coasters or other extreme rides, but you can go to a haunted house.
ETA: There isn't really anything you can't do when you are pregnant. Other than drinking, drugs, smoking, and unnecessary roughness on your body.
But you can still exercise (walk constantly when pregnant, it is really good for you) and you can still have sex, work, dance, everything. Pregnancy isn't a time to lay around and do nothing. Do everything.