Henna is a natural dye. No need to worry if you're not allergic to Henna. I've been coloring my hair even when I wasn't pregnant, there's totally no reason for you to stop dyeing your hair when you've been doing it already before. I always do my research and it is perfectly safe to dye your hair.
https://www.babycenter.com/404_is-it-safe-to-dye-my-hair-during-pregnancy_3273.bc
Paul-ria Santos