Yes - there are several things you should be aware of.
As part of the sponsorship process, your wife must complete a medical. This medical includes an x-ray. Most doctors advise against doing an x-ray when a woman is pregnant because it may harm your unborn child. If your wife is unable to complete the x-ray portion of the medical, this means that her application will be put on hold until after she gives birth and is able to complete the medical. Depending how long the process of the application takes, there is always a chance your wife may be asked to do a second medical. So even if she complete an x-ray with the first medical, if she is asked to do a second medical and can't complete the x-ray portion - this will once again halt the processing of her application until after she gives birth.
Depending on what province you are located in, there are also the costs of the pregnancy and birth to consider. You may have to pay for the costs of the pregnancy and birth out of your own pocket if she gives birth before becoming a PR.
