Not at all. Aromatherapy can be beneficial in pregnancy. However, there are some oils which should be avoided in pregnancy. If any of your candles contain these (or you're unsure whether they do or not) throw them away.
Basil
Cedar wood
Cinnamon
Clove
Cypress (you can use this after 5 months of pregnancy)
Fennel
Hyssop
Jasmine (not one for pregnancy but great for use during labour)
Juniper
Lemongrass
Myrrh
Parsley
Penny royal
Peppermint
Rosemary
Sweet marjoram
Thyme
This is because some of these oils can cause the blood to thin and even bring on early contractions.
Some great oils to try during pregnancy are:
Bergamot: this light, refreshing citrusy oil can help relieve pain, lift spirits and aid both antenatal/postnatal depression and sadness. It's also an effective indigestion reliever - another common pregnancy complaint.
Lavender: A great multipurpose oil that relieves pain, relaxes the body, relaxes the mind, helps to install a sense of calm/tranquility, eases headaches and muscle pain. Women have also used lavender as an effective solution to stretch marks - worth bearing in mind if you're left with more than you bargained for after the birth of your baby!
Lemon: Useful as an inhalant for morning sickness or massage into the skin to treat varicose veins.
Neroli: A beautiful oil that can relieve all manner of aches, pains and niggles during pregnancy including digestive problems, anxiety for the birth/parenthood, depression, fluctuating emotions and sleep difficulties (particularly in the last trimester). It also helps to promote healthy skin cell regeneration and keep pregnant skin glowing.
Rosewood: A deliciously scented oil that has a mild sedative effect to aid sleep-deprived mums to be.
Sandalwood: Anti-depressant and helpful for cystitis during pregnancy.
Tangerine: A great treatment for stretchmarks and aiding sleep.
Geranium: A balancing, uplifting pain relieving oil that can help ease lots of pregnancy problems such as swollen/painful breasts, swollen legs and ankles, backache and general discomfort.
Chamomile: Soothes muscle pain, headaches and indigestion, with a calming effect on the mind and body.
Eucalyptus: Antiviral oil that can help ease coughs and colds during pregnancy.
Frankincense: Great for use during labour, this oil helps to relieve pain, encourage steady controlled breathing and help women to stay focused. It also has comforting properties which can be reassuring for women in labour.
Grapefruit: Aids digestion and helps ease water retention.
YLang Ylang: Calms, brightens and helps to restore focus in stressful situations.
I hope this information helps; good luck