The gemara in chullin 71 writes that a tahor baluah cannot become tamei. Meaning something inside someone cannot become tamei from the outside. So it seems from this gemara that a woman who married a kohen and is pregnant would have no issue going into a cemetery or coming in contact with a dead body,since tahor baluah.
So why have I seen people who know they are having a boy (through ultrasound or something) be stringent not to come into contact with tumah?
The Sifte Kohen (YD beg. §371) quotes the Rokeach saying that the wife of a Kohen may enter under the same “roof” as a corpse since there is a double-doubt: the newborn may be a stillborn and, even if it is not, it may be a female. The question was posed to Radbaz (§200): Why is such reasoning necessary, this is a case of tumah balu’ah? Radbaz therefore suggests that Rokeach was concerned with a situation where the woman is close to giving birth and we are suspect that the newborn might begin to exit the body whereby it is considered born and no longer balu’ah and so necessitated his “double-doubt” reasoning (cf. Chazon Ovadiah - Avelut vol. 2 pp. 63-68 quoting numerous authorities who [implicitly] agree that the fact of tumah balu’ah is alone sufficient reason to be unconcerned with a fetus contracting tum’ah, except that the double-doubt is necessary for a more extenuating circumstance).
As such, I believe the reason for a pregnant wife of a Kohen to be stringent and not enter a cemetery probably stems from esoteric reasons (cf. my comment to the question), unless the case in question is concerning a woman who has a chance of giving birth while visiting in the cemetery.
