I moved from san francisco to kansas and drove through Vail, Colorado on the way, in my 8th month of pregnancy. Vail is 10,000 feet. I didn't have any problems while traveling except for the need to stop often and stretch, use the bathroom, etc.
My son was born a couple weeks early BUT I think it was more from all the moving boxes and unpacking them and shifting furniture around and stuff like that. Not the actual travel.
I also went to Laughlin from Los Angeles when I was only 2 weeks away from my due date with my oldest. Again I had no problems with the traveling except for the needing potty breaks.
I would however take the other suggestions of asking your doctor about it before you travel. You might also want to take the suggestion of checking with your insurance of what they cover and what they don't. All of the ones I know of will cover all emergency medical care even if you are out of the "service" area.