You should talk to your
doctors">primary care doctor and your
psychiatrist about these concerns. It sounds like you have a lot of different questions you need answered, not just related to the possibility of taking Zoloft during pregnancy.
Generally speaking, selective serotonin reuptake inhibitors (SSRIs) like Zoloft are safe during pregnancy and they are taken by many women during pregnancy without any serious effect. The risk of having birth defects and other serious problems with the baby are low with all the SSRIs. The most common side effect is that a large percentage of babies will have minor withdrawal symptoms (jitteriness, fussiness) after they are born from no longer having the SSRI around.
However, it sounds like your doctor may not want you to continue the Zoloft, and so this might not be an issue for you. However, the fact that you are experiencing significant anxiety means that your anxiety is not well controlled, and you need to talk to your doctors about potential changes to your medicines to help with this.
If you do decide to stop the Zoloft, you should come down on the dose slowly as directed by your doctor to avoid any potential withdrawal symptoms, which are generally minor but can be unpleasant.