Its a good question Julie! The journey across the Atlantic was expensive and dangerous. Unless this was a wealthy family, I would't expect that she travelled back and forth, esp not while she was expecting. But it is possible.
For some of my ancestors, the father came first and got settled, then the family followed. If she was pregnant, that would have been considered a good reason for her to wait and follow.
But for other ancestors, some or all of the children born in the colonies were also recorded back home. We may never know the actual birthplace of these ancestors.