Breathlessness is quite common throughout pregnancy. As the changes in the body occur during pregnancy and the amount of various hormones in the blood increases, the breathing rate also increases so that additional oxygen for the fetus can be inhaled.
As the pregnancy progresses, the uterus begins to become larger, the diaphragm is pushed towards the lungs and the lung capacity decreases. With this, the breathing rate increases even further.
When you are in this condition, even the smallest amount of effort can make you breathless and reach out for air. Environmental factors such as pollution, over crowding, hot and humid weather etc can further contribute to intensifying of breathlessness.