My wife and I have had discussions about this in the past, considering her being pregnant for pretty much five continuous years. Will it hurt the baby?
The only thing I thought about as far as being harmful to the baby was the noise. Unborn babies can hear voices (no, not the creepy kind!), such as the mother and father's, and can also hear music and stuff. No doubt the noisy blast from a firearm can cause damage, or at the very least scare the poor kid. For those reasons, my wife hasn't fired a gun in years (it breaks her heart. . .(not really)).
I didn't even think about any of the other things that might be harmful. With that information especially, my advice is to not do it. I found that article on ARFCOM from this thread on the subject.
And knowing is half the battle. . . . (that brings you back, doesn't it?)