This is all about body temperature. Some say that if your body temperature goes over 101˚F (especially in your first trimester) you have an elevated risk of miscarriage and fetal tube defects. I found a couple of sites that mentioned a study found an increase in miscarriage in women that used a hot tub in the first trimester but they didn't study what else they were doing (like possibly shooting heroin) so it was inconclusive.
Manufacturers recommend 104˚F for a hot tub and some suggest turning it down a bit if you have high blood pressure or if you're pregnant. Many also suggest that you get out of the hot tub if you start feeling over heated, dizzy or faint. Gee, ya think? The same seems to apply for saunas. It sounds like most of the controversy is over the first 12 weeks of pregnancy. If you were anything like me at the end of your pregnancy, I think there's a greater risk of being harpooned in any kind of water than over heating and passing out.
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