The illnesses you can get from shellfish are not specifically dangerous to pregnancy and shellfish are not usually on the lists of foods to avoid.
That said, there are many illnesses that can be transmitted by shellfish, including hepatitis A. Some food poisoning from mollusks is actually a result of the algae eaten by the mollusks. This includes those found in "red tides" and is more common in warm months. Unfortunately cooking the mollusks does not eliminate this risk, so you really need to be careful.