then you should be fine. The officer won't care if you're pregnant - the only thing at that point to worry about is that you might not be covered for healthcare when you arrive in Canada, so you should look into that - most insurances won't cover pregnancy costs if you're already pregnant when you buy the insurance. Depending on which province you will be moving to, the rules for healthcare are different, and it can be quite costly to have a baby without insurance, so you (or your parents as you will be going with them) should really look into that.
Your baby will be Canadian because he will be born in Canada, so as soon as he is born he will be covered by healthcare, but you might not be - that's something to consider.
Sweden