You can lose weight while you're pregnant, but you shouldn't set out to do so. Your baby
can and
will take whatever it needs from your body while you're pregnant, but following a restricted-calorie diet is generally not recommended. All other things being equal, the stress of trying to
lose weight while you're pregnant is one thing you really, really don't need to be adding on to yourself during that time.
Now, as to continuing a health plan...Good nutrition is very important while you're pregnant. If nothing else, you want to get into the habit of nourishing yourself well so you can nourish your baby well once she's here. It's also a great idea to exercise.
But
You have to keep in mind that you don't know how a pregnancy is going to affect you until you are pregnant. Some women never have a second's worth of nausea. Some women wind up in the hospital on IV fluids because of hyperemesis gravida. And there's a huge amount of variance in between. I personally tend towards the low (sick) end of that scale. There comes a point where you eat what you can keep down. You hope that will be whole grains and lean protein and the sort...But sometimes it's soft serve. And sometimes you're not sick but you're starving to death and you
have to eat.
And when it comes to exercising, the illness thing comes in to play there too. As do changes in your body. Your center of gravity changes, especially in the second and third trimester. And in the first trimester exhaustion is pretty common. Second trimester is when your blood volume drastically increases, which often results in dizziness. Late in the second trimester or in the third when you've got this giant stomach sticking out in front of your body, your back is probably going to start aching.
I'm not trying to be a downer, I swear. I barely crawl through my pregnancies, but if you'll look at my signature you'll see I've got a habit of doing it.

What I'm saying is...You can and should go into it with the best of intentions, health-wise, but you've got to be very, very aware that pregnancy is pretty much a crap-shoot physically. I'm huge on pregnant mamas not stressing themselves out more, because pregnancy is a huge stress on you and on your relationship. So go into it with the intention that you'll keep on eating healthy and exercising as best you can, but don't kick yourself if you have to abandon some things temporarily.
One last thing: Don't feel bad for asking what you've asked. I'll be willing to bet most of us here have at least
thought about these things if we haven't come right out and asked, and in the almost year this forum has been here, the questions have popped up periodically. So don't feel like you're the only one.