Will my asthma affect my pregnancy? If so, how?

Rule of Thirds. One third of patients will experience worsening asthma in pregnancy while another third stay the same and one third actually feel better during pregnancy. You should check with your healthcare provider because many standard asthma medications can not be taken during pregnancy. Congratulations on your baby.
Probably not. Unless you have a severe attack and end up in ICU and are without enough oxygen for a period of time sufficient to deprive baby too.