My doctor did not have a problem with protein powders, but in all honesty, I did not "feel okay" using them. Most protein powders have a quite a bit of artificial sweeteners and are basically engineered food. Real food is better, IMO. When you are pregnant, you really need to think about what is best for the growing baby.
Is is BAD? Not likely. Best bet would be to bring your protein to your OB and ask him/her what they think.
As for what else you would eat, the combinations are endless, you just have to use some creativity.
As for what to do in the gym, there are some basic (mostly common sense) things - but ultimately, you should check with your OB since every pregnancy is different and has it's own set of unique things.
Basically ...... you can continue doing anything you were doing PRE-pregnancy. Pregnancy is not a time to try new things or add to your fitness routine. You can continue lifting, doing cardio, yoga, etc. But you REALLY need to listen to your body and HEED what it tells you. Pregnancy is NOT a time to "push through" a tough workout.
You don't necessarily have to stay below a certain heart rate (the 140 bpm has shown to be outdated) but you DO need to watch your breathing. If you are gasping for breath, so is the baby. The baby is priority - NOT YOU. Watch your temperature. If you are too hot, the baby is too hot - and this can impact development. Stay VERY hydrated. If you feel cramps, dizziness then STOP.
Don't do high contact things - boxing (with a partner), mountain biking, roller blading. Your balance will likely be off (esp later in pregnancy) and you need to watch for this. Careful with stretching - stretching is good, but you can overdo it, esp around the hip joints.
Do what you can, when you can. Everyday will be different. Some days you feel like you can climb a mountain, some days brushing your teeth is exhausting. Listen to this. On days you are tired, take it easy. On days you feel good, take advantage of it (but don't overdo it). You can workout the entire pregnancy, but if you have to stop for some reason - don't stress. You are pregnant. You are growing another human - that takes a lot of energy.
Always take your prenatal. ALWAYS.
Sleep now. You have no clue what sleep deprivation is until you have a newborn. NO IDEA. Nap if you need one. You are not being lazy - you are growing a person.
ENJOY it. I LOVED LOVED LOVED being pregnant. I miss it - it was such a fun time. Wait until you feel him/her moving. It is amazing. Good luck!