29 weeks pregnant and lost my job and soon my health insurance?

OMG! I am so sorry this happened to you, hun. What a nightmare! You should be eligible for a pretty decent unemployment package, due to the cirstances of your "termination" and there absolutely has to be something you can do about your health insurance. I would start making phone calls, did your company have a Human Resources department or at least a representative? They should be able to tell you more about you should proceed from here.