Hi,
I live in Madrid and have been a few times to Rome, and would recommend Rome for your weekend, especially since you havn't been to Italy before.
Rome has soo much to see and do - the forum, the colosseum, the trevi fountain, the spanish steps, the piazzas, st peters, and especially the food! Most of these sights are relatively close, so even though you are pregnant, you should be able to get around ok.
Watch a few Audrey Hepburn / Sofia Loren films which are set in Rome before you go, to put you in the mood!
Madrid is nice to visit too, but for that wow factor, I'd recommend Rome.
Cheers,
Ragazza.