COBRA is not the only option. Now, I'm not sure how pregnancies work into the calculations, but there are alternatives to check out. I'm not any type of paid endorser, but when I was hired I went to this site to find a plan:

Health Insurance - Find Affordable Health Insurance Plans and Buy Medical Coverage Online

I did not choose a short-term plan. I chose one that was long-term but one I could cancel at any time. The premium was less and when coverage kicked in at CAL I canceled the plan (actually I paid for 6 months up front and then called them when renewal payment was due).

I'm not saying it's great to have to wait six months for coverage, it isn't. But, I know healthy people/families with no preexisting conditions who wouldn't make the leap to CAL because they couldn't afford COBRA for 6 months. COBRA is not the only game in town, especially if you are healthy. I found coverage for 22% of the cost of what my prior company would have charged me for COBRA.