I googled pregnancy and styes to see if i could find any information on it and i came across your question. Im pregnant as well (first pregnancy)and have a stye on my left eye. A few weeks ago i got a stye on my right eye and thought it was very strange because i never get them. I put a hot clothe on it a few times and was putting cvs skin antibiotic and pain relief cream on it a few times in a day, it helped with pain and it cleared up in a couple of days. Now i got one on my left eye. :/ so i decided to google if there was relation between styes and pregnancies, supposably on one site they mentioned hormonal changes, stress, bacteria, etc. can cause them. Make sure you do not continue using the same eye make up, when your stye clears up buy new eye make up to prevent from getting another one. Im going to attempt to repeat what i did last time.

Good luck!!