yup, pregnant cannot go hot springs or take hot baths/sauna.
I read this from pregnancyweekly.com
Avoid saunas, steam rooms, and hot tubs while you are pregnant. Your baby is several degrees warmer than you are and cannot regulate its body temperature, so remember to stay cool while pregnant. During the summer, be sure to drink lots of cool water, stay in the shade and in air-conditioned buildings, and exercise in the early mornings or evenings when it's cooler.
For me, i used to love hot baths. But even since I got pregnant, I find that if the water temperature is too hot, I will feel dehydrated and giddy.