you shouldn't use jacuzzi's, sauna's, sunbeds and even foot spa's that bubble. foot spa's because it massages part of the feet that can cause miscarriage.
Jacuzzis/saunas and very hot baths will affect your body temperature and how your blood circulates around your body. It is believed that this in turn can affect how blood flows to your baby. Although there is no evidence that this can cause problems, it is usually advised to avoid jacuzzis/saunas.
I'm an environmental health officer - it's more to do with bacterial counts in the water (which is recirculated). Lab results of water samples have shown e coli, pseudomonas and salmonella. i wouldn't use one pregnant or not.