Landing during pregnancy is fine. They usually ask this question to know how far pregnant you are. If the applicant is in later stages of pregnancy it will make sense for both you and CIC to hold the process till your baby arrives, so that they could issue COPR for the baby as well.
As you already know, you will have to bear the costs associated to pregnancy for the first 3 months. Costs can vary a bit province to province, but unless there are complications, you will only be asked to visit doctors once a month till 6th month of pregnancy. Then it becomes every 3 weeks, and eventually every 2 week in 8th month. In 9th month, you will visit doctor every week but by then you should already have the provincial medical coverage.
So I reckon you are going to pay for 3-4 doctor's visit out of pocket. May be 1-2 ultrasounds(NT and anatomy ultrasounds if not already done), and some blood work done in addition to that. Although it would not be precise, but I would ballpark your out of pocket expense to be in range of a 1000-1500 Dollars.
I think the real challenge will be to find a family doctor asap after your arrival and arrange a referral to Ob-Gyn.