Can dvt occur whilst on anticoagulation treatment in pregnancy, ?

Yes it can: There are women with a predisposition to blood clotting. In many cases they have a history of a DVT (such as you). In most cases, they are on a 'prophylactic' dose of Heparin during subsequent pregnancies. This dramatically reduces their risk of DVT during pregnancy, but it does not make it a zero risk. If a woman develops a DVT during pregnancy, they should be placed on 'therapeutic' dosing.

Yes: Dvt can occur while on anticoagulation and also while pregnant and on anticoagulation. If either of these occurs, it usually means that the anticoagulation has been at unacceptable levels. You need close monitoring and probably, should be followed by a hematologist.