The answer is, it depends. If you are under a group plan, then no. It cannot be considered a pre-existing condition due to HIPAA, the health insurance portability and accountability act of 1996. This act, however, only covers group policies. If you are under an individual policy, then they may consider it a pre-existing condition and deny coverage based on that.
Pregnancy is a very expensive time for health insurance companies. A normal pregnancy is expensive, but the costs can balloon upwards with any complications. For that reason, they may try to deny coverage, but you should know your rights.
Interestingly, if you are on an individual policy, and change and are pregnant, but did not know you were pregnant, the new insurer will most likely have to cover you. It is, probably, up to the insurance company to prove through medical records or otherwise, that you knew you were pregnant at the time. If it was just a coincidence, then they cannot deny coverage, most likely. If you find yourself in this position, you will want to speak with an expert or call your state insurance commissioner’s office.