Yes, of course. Pregnancy is not a limiting factor. You are not sick or debilitated, you are just pregnant.
The type of training will depend a lot on your athletic background. If you are a sedentary person, it will not be now that you are pregnant that you will learn to surf or weightlifting. You should start with low intensity cardio and progress from there. And preferably with the follow-up of the obstetrician.
However, if you already practice some sport, you can continue practicing without fear. What will change is the intensity of the workout as you advance the weeks, but again, preferably with the follow-up of the obstetrician.