The way I understand it is that someone who is pregnant cannot be dismissed simply for being pregnant and no other reason. I understand that it is still possible to dismiss them for other reasons as long as it is fair and provable i.e in the case of theft by the pregnant employee. I also believe that they are not protected any more than any other employee, in the case of genuine redundancies. I presume that there is more than one person doing the same type of job that is to be made redundant? If so, I believe you are all entitled to the same considerations regardless of if your colleague is pregnant or not.
As I said this is my understanding and not necessarily 100% correct, it is best to get proper legal advice. Cheers Sue