Hi There,
Folly farm is your best bet when the weather's changeable as it has a lot of indoor fairground rides now as well as the barn areas. There is still the dinosaur park (a bit faded around the edges now but probably still fun for a little one ) and the recently revamped Manor House park where you can walk among the wallabies and monkeys in special designated areas.
Tenby also has a public swimming pool which is a good standby when it's wet outside and there is a play centre (Ocean Commotion ) within the old town walls. Haven't used either of these ourselves so can't comment on value for money.
Can't recommend the Silent World reptile collection it was a bit expensive for a few tanks containing lizards and it's up a steep hill, probably not good if your pregnant.
Hope you have an enjoyable stay, it's a lovely part of Wales and very family friendly too.