REM (rapid eye movement) sleep is the term we use for deep restful sleep when people experience vivid dreams. Pregnant women actually experience more REM sleep and therefore may feel like they have more vivid dreams as well as more frequent dreams. Their sleep is also disrupted more often due to things like discomfort, restless legs, frequent urination, etc. Restless sleep can also lead to an increase in hypnagogic hallucinations, which are the abnormal sensations that occur right as you are falling asleep (like a sensation of falling, strange smells, etc.).
The result of all of this is that pregnant women tend to remember more of their dreams. Sometimes, our anxieties play themselves out in dream scenarios so it’s not uncommon for your dreams to contain content that might be disturbing (things like losing the pregnancy or your child being hurt or injured in some way). If you find that the content of your dreams is particularly disturbing, talk to your doctor