I had a dream really similar to that when I first found out that I was pregnant.
What works for me is asking myself through out the day, Am I dreaming? If you get into the habit of wondering if you're dreaming when you are awake you will start to do it in your dreams as well and be either able to change the dream or wake yourself up.
Look up lucid dreaming online their is a ton of tips. It's a little more difficult because pregnancy dreams are so vivid and seem so realistic but I'm still able to figure I'm dreaming most of the time.