The employer may actually have this right, IF the employer has a non-fraternization or non-nepotism policy. If the employer prohibits supervisors from being romantically or sexually linked in some way (including possibly by proxy in this case; e.g. the supervisor's son) and/or prohibits having a supervisor manage someone in some fashion related to her (e.g. as mother of grandson), the employer may be able to request some form of documentation or evidence that their policy is not being violated. If there is no such policy generally in place, it would not seem to be their business. So the principal issue would be what policies are in place. Note, however, that if you are an employee at will--i.e. one without a contract--you have very little protection from being transfered, demoted, terminated, etc.; therefore, even without an actual policy, if your employer decides to take action against you, it may be able to, though it cannot discriminate against you simply because you are pregnant or a woman.