Very little evidence is available that suggests hair dye can affect pregnancy in any way, according to BabyCenter. This is because none, or very little, of the dye is actually absorbed into the skin.
Hair dye is absorbed through the hair shaft and not through the scalp or any part of the skin. BabyCenter suggests that mothers-to-be who are concerned about chemicals can hold off coloring their hair until the second trimester, when most organs have finished developing and the fetus is much less vulnerable. Vegetable dyes and henna dyes are considered safe during any stage of pregnancy as long as they're organic and purely vegetable-based.