Bathing in hot water:[1]

It is permitted for a pregnant woman to bathe in hot water during the nine days for medical purposes.[2]

[1] Admur 613:1 and 614:1 regarding Yom Kippur; See Rama 551:16 that only for pleasure is it forbidden; M”A 551:40 regarding Yoledes; Mahariy Bruno 12; Kneses Hagedola 551:23-24; Elya Raba 551:35; Chayeh Adam 133:19; Derech Hachaim 7; Shaareiy Teshuvah 551:33, 37; Kitzur SHU”A 122:12; Ben Ish Chaiy Devarim 16; Kaf Hachaim 551:187; Shaar Hatziyon 551:94; Tzeida Laderech Mamar 1 3:13; Nitei Gavriel 56:20; See Encyclopedia Hilchatit Refuit Vol. 3 Erech Hirayon p. 21; See Toras Hayoledes 51:13

[2] The reason: It is permitted to bathe for medical purposes as only bathing that is done for pleasure purposes is forbidden. [See Rama ibid; Admur 613:1 and 614:1 regarding Yom Kippur]