For a GA pilot, a local flight can easily be terminated or even a cross-country one reversed. They certainly are not the preferred locations but rarely are there any problems whatsoever. Blood clots in the legs and pelvis are not good things but happen to people who are stuck sitting in the same position for long periods of time. This occurs frequently with lengthy travel, whether by air or by auto. Additionally, the extra estrogen in a pregnant woman's system adversely impacts the body's ability to prevent blood clots.
Physical movement is the best prevention if a long flight is mandatory.
Ideally, this movement includes walking through the cabin a few times if on an airliner, but even isometric contractions of leg muscles and massaging the legs will help when in a tight GA cockpit for a few hours. Obviously, bidding or planning shorter trips will reduce the risk. Hypoxia is not much of a problem for most airline pilots, but it can be for the GA pilot. I tend to be a little more conservative and recommend oxygen at 8,000 feet MSL unless the pregnant pilot lives in a high-altitude location like Jackson, Wyo. Regardless, pulse oximetery is the best option for a pregnant woman to know for sure whether they need oxygen or not.