So if you had no insurance, got pregnant, then landed a new job with insurance, your new health plan would not have to immediately cover your pregnancy. You might have to sit out a preexisting condition waiting period, a period that could be longer than your pregnancy and in the meantime pay for your visits yourself. So if you have individual insurance and are pregnant, then buy group health insurance, you again could be subject to a preexisting condition waiting period. Likewise, if you move from one individual health plan to another individual health plan, you might not get pregnancy coverage at all. You might have to sit out a waiting period, or if you are offered insurance that covers your pregnancy, you might find it's very expensive.
Eligibility waiting periods are possible.
Here's another scenario. Say you have group health coverage and then switch jobs. Your new health plan has a one month eligibility period before it begins and you're pregnant. The health plan isn't required to cover your pregnancy until the plan takes effect. If you find yourself without insurance, organizations such as Catholic Charities and Lutheran Social Service often have reduced cost prenatal services available.