I think, if it were me, I'd try to find a more natural way. My sister had great results with vitamin supplements for anxiety. My friend just introduced me to a drink called Kumbucha that kept her really happy throughout her pregnancy. But, if perscription antidepressants are all that works, I think it is better than being being depressed an entire pregnancy and possible harming herself!
I agree with trying all natural supplements before taking any harsh meds. Always discuss with your dr before taking anything while pregnant though, even some of the all naturals can be dangerous to the unborn fetus.