where are you planning on taking the excursion? it seems i've read that if you are pregnant, they do not allow you to "swim" with the dolphins, but you are allowed to do the "encounter". i may be wrong about this, but i'm pretty sure i've read this somewhere.
Check out the web site for the Dolphin encounter you are planning on trying. Call them directly and ask them. Do not go by some urban legend you might have heard somewhere. I can imagine some concern about strenuous activity and pregnancy but have never heard about dolphins attacking customers for any reason.
Again , contact the vendor directly and get the facts.