Lots of pregnant women do continue to wear the same footwear they are used to in their pregnancies. If this is a heel it may be advisable to swap for a flatter shoe as the pregnancy progresses. Although if you are used to wearing a heel all the time you may find it difficult to adjust to a lower or flat shoe as the arch of your foot and muscles in the back of your leg will have adjusted to the wearing of a heel over a long period of time.
Later in pregnancy you have to be aware of how your posture and centre of balance changes, with the increased weight now being mainly at the front of your body. Care is needed as the presence of increased levels of certain hormones secreted during pregnancy makes the joints and muscles of the body more lax. So the wearing of a heel may increase strain on the lower back and pelvic joints giving rise to aches and pains in those areas. Many women now take yoga classes specially designed for pregnancy to help with posture and the aches/pains that the body may experience during pregnancy 1.
1Medforth J et al. Oxford Handbook of Midwifery. (2006). Complementary therapies.