I went to a "Healthy Pregnancy" class at Mountain Midwifery Center in Colorado, and it was made VERY clear that hot yoga is a bad idea for most people. And this is coming from a group of very crunchy, yoga loving, natural living midwives.
The reasoning I heard is that you are more prone to dizziness and dehydration in pregnancy, and that your body is already heating up as it is, so those things all together do not make for a very safe hot yoga experience. I don't see how exercising outdoors on a hot, humid day is different either-- they're the same risks.
However, I'd imagine that like most things, if you are feeling good, keeping hydrated, and able to easily step outside (the yoga room-- inside from a hot day) to cool down if needed, you may be fine. Just keep several steps ahead of any warning signs like light-headed-ness or weakness.
In more detail:
The risks seem to be in three forms, in order of seriousness.
One is that when pregnant, you are more likely to become "weak in the knees," lose balance, and hurt yourself, especially if your ligaments are loosening up from Relaxin as well. I consider myself a fit, well-coordinated and balanced person, and this has happened to me more than I'd like to admit.
The second is that raising your core body temperature over a certain threshold can cause developmental problems for your embryo. Read up on why hot tubs and sauna are also cautioned against-- it's the same thing in hot yoga.
The third is dehydration. I remember reading in one book that women are not infrequently hospitalized for dehydration during pregnancy because you need so much more water for all that new blood and amniotic fluid, etc, and it's easy to forget to drink more water.
Obviously, none of these are (your) life threatening risks, though in the extremes, impact from a fall, over-heating, and dehydration all have very real dangers for the life and wellness of your embryo/fetus.
If I was you, I would continue going but I would be more cautious about which moves I modify to suit, I'd drink 1.5 times as much water as before, and rehydrate after, and I'd stop at the first signs of my body feeling too "off" to continue.