Paint chipped off weight set and my husband vacuumed it. Afraid that there may have been lead in paint. 29 weeks pregnant. Something to worry about?

Probably not. Lead based paint has not been used in us since late 70's. Vacuuming not likely to aerosolize chips.
Unlikely. Lead paint has been banned from anything that might be residential in nature. If these weights are 40+ years old, it is theoretically possible. That said, vacuuming should have collected much if not all of the paint. You can have it analyzed to tell, but it is unlikely to affect your pregnancy in any event.