I always recommend any time between 28 and 34 weeks, with most women attending in around 30-32 weeks of pregnancy. At this point, most are still fairly energetic and able to do most of the poses they want to achieve.
Later in pregnancy or if there are pregnancy concerns, I have found women are tired, struggle a little more with aches and pelvic pain (which can actually cause problems as early as 20 weeks into their pregnancy, due to hormonal changes, to allow for a growing uterus and baby). However, sessions are about two hours long and by the end, most are absolutely exhausted!