Diet shakes are intended to replace all or some portion of meals, with the goal of reducing calories. In and of themselves, they may make for a good "snack" during pregnancy, but they should not replace a well-balanced diet.
In general, dieting for weight loss is discouraged during pregnancy. The fetus needs a full supply of calories and nutrients for normal development. A balanced diet that allows for a total weight gain of about 30 to 35 pounds is usually sufficient for this.
The supplements added to many diet shakes present another safety issue. For example, the additional vitamin A in some shakes – on top of the amount in prenatal vitamins – may exceed the daily amount considered safe in pregnancy.