The safest adhesives, least likely to cause a skin reaction or to transfer any substance to the blood stream are Oil Resistant White Glue and CoolPiece Cream Adhesive, because they are water based acrylics with no solvent base. But absolutely no research has been done regarding adhesives and pregnancy.

To remove adhesive residue, typically a citrus/mineral-oil based cleaner like CoolPiece Adhesive Remover is used. Once again, no facts, but these substance has been known to potentially cause tingling and redness if not removed with alcohol or soapy water within ten minutes, so perhaps they presents a hazard.

Plus, alcohol is used a lot to clean the skin of adhesive users, and this would definitely enter the blood stream to some extent.

Strictly speaking, to be 100% perfectly safe during pregnancy, you may want to take a break from wearing hair with adhesives and solvents, just in case.