http://revach.net/article.php?id=3838

Section: Halacha   Category: Tshuvos
Bais Ovi: Can Pregnant Women Attend A Funeral?
The Bais Ovi (5:82) was asked what is the source of the minhag that pregnant women do not attend a Levaya, and if this applies to relatives as well?  

He answered that he never heard of any such minhag.  The only thing he would venture to guess is that they are afraid that the pain and anguish of the funeral would cause a miscarriage and therefore voluntarily chose not to go.

Important Note: We try to convey the Tshuva to the best of our ability. We admit that our understanding may not be accurate. One should learn the tshuva to verify the accuracy of our interpretation.  Please also understand that this Tshuva may not be the final word on this topic. One should consult a Rav before drawing any conclusions.