I'm doing yoga at MYOGA - they have studios at Causeway Bay & Mong Kok. Huge classrooms, many yoga/pilates/dances classes, half local teachers half english speaking teachers... you can trial class for free. The Mong Kok one has 50 showers, and free towels etc. You can negotiate a lot of rates, I negotiated for 7 classes a month for 1 year rather than their usual 2 (I just said I may leave HK). You can stop anytime (because you are pregnant) and they let you extend the months after giving birth.
They have special prenatal classes which you pay more, but you can just go to normal ones and tell the teachers, all of them know what position to do / not do during pregnant, so often they'll just tell me to change my position a little. They also adjust positions for those with back injuries etc.