I don't have children, so take whatever I say with an entire salt mine ...
But Deena Kastor had trouble walking her dog in late pregnancy.
She skipped last year's New York Marathon because of her pregnancy - granted that her record marathon time of 2:19 is probably an hour longer than a sprint triathlon would take an average young woman, but still.
Nobody's saying you shouldn't continue to train as long into your pregnancy as you feel comfortable and your doctor says it's safe. And for that, yes you will need maternity shorts - I don't believe TE carries any, but do some googling - the topic has come up here before and there were one or two manufacturers.
But I'm with alpinerabbit. Competition is a whole 'nother thing. You'll be making extreme demands on your body's level of oxygen and introducing high levels of muscle damage and inflammation. Are you sure you want to do that, and does your doctor understand competition?
Speed comes from what you put behind you. - Judi Ketteler