It is possible to do Pilates while you are pregnant, but you should attend classes that are geared for expecting moms and taught by a qualified instructor. Normal Pilates classes may keep you on your back too much.
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The first answer for any situation ref. pregnancy is to get physician's evaluation & approval.
For exercising when pregnant there are a few basic guidelines
1. Stay adequately hydrated
2. Keep the intensity level at a moderate level
3. Avoid wearing clothing that is impermeable to water while exercising
4. Be acutely sensitive to the environmental conditions (temperature, humidity, etc)
5. Keep the duration of the exercise session to 30 minutes or less
6. Avoid prolonged (>5 minutes) exercising in the supine (lying) position
7. Avoid overstretching while exercising or performing ballistic-type motions
8. Eat a nutritionally sound diet to ensure adequate levels of glucose are available
You probably can jog during your pregnancy, but to be safe confirm this with your doctor as you could have conditions which this would not be advisable.
you can do free weight squat with holding a pole so that you dont stress your abdominal cavity
but never try squats with weights....