Is it possible to receive a warning for pregnancy related illness during pregnancy ?

Yes, it's possible. I have seen people forced to go off work on disability because of pregnancy issues.

Do you have a union or employment contract?

If you have received a warning it would appear that, yes, it's possible.

I know during my first pregnancy I had several pregnancy related health problems that led me to take a lot of time of throughout my entire pregnancy, but my employer never had a problem with it as long as I had a doctors note explaining why I had to be off. If I didn't have a note, I would have been written up.

If you are in the US, unless you are talking off larger chunks of time, but if you are just missing a day here or there, yes they can use that as a negative against you

I asked about a union or employment contract because it's pretty much employment at will - and that would certainly come into play if this is reduced work capacity or time off here and there.