What are the consequences if you received an mmr vaccine whilst you were unaware you were pregnant, for example one got pregnant within couple days of conceiving?

Usually nothing: In theory we like to avoid any live derived vaccines like the MMR during pregnancy. However it has happened with enough frequency that we do have some data on consequences. So far we have not seen an increase in birth defects or other such issues that would cause alarm. It is certainly not an indication to interfere with pregnancy as a primary Rubella infection might.