Parasites live in the meat of raw fish. While sushi chefs are very careful, that doesn't mean they detect every single parasite. And because pregnancy suppresses your immune system, you're much more susceptible to serious illness from any food-borne organism.
A parasitic infection probably couldn't get through the placental barrier, but a parasitic infection could give you liver or gastrointestinal problems that might then affect your baby. Some parasitic infections can lead to anemia or serious malnourishment in the mother or even cause miscarriage.
There's also the risk of eating fish that has a marine toxin in it. Bluefish, mackerel, mahi-mahi, and tuna can carry a histamine toxin that may cause flushing, dizziness, and burning of the mouth and throat.