I got pregnant with an IUD six years ago but it was able to be seen through an ultrasound and removed.
I don't know anyone, personally, who's had to continue the pregnancy with the IUD in place but a co-worker's relative did since the device was embedded in the cervix and couldn't be removed until after delivery. It was, obviously, considered a high risk pregnancy and she had ultrasounds every two weeks. She ended up going into preterm labor around seven months.
How far along are you? Have you seen a specialist?
Best of luck!