Yay! Congratulations!
So maybe stay away from the alcohol for now but sounds like you've got lots of other great ideas!
My stepsister had a fondue kit that she bought from like Linens N Things or something like that. It was definitely cheaper than going to that place you are talking about, and then you can chop up all your own vegetables and choose what you want and your boyfriend will appreciate the effort you put into preparing it for him.

Apologies for mentioning alcohol again (weird for me because I barely drink lol) but if your boyfriend is a beer drinker, there's an amazing beer batter you can put on vegetables before you fondue them if you are thinking of doing an oil fondue. It tastes sooooooo good. Since you're preggers and eating healthier anyway, it probably wouldn't appeal to you regardless of alcohol content but if he's a beer fan I imagine he'd enjoy it. It's a very subtle taste as well (I don't like beer but this stuff is yummy). You could also do chocolate or cheese fondue. Chocolate with some strawberries and other goodies could be quite sensuous.
Darn it, now I want cocktails and fondue! LOL.