Should I be concerned about my baby's health if I was pregnant during a tubal ligation?

No. As long as the baby is in the uterus and not in the fallopian tube (an ectopic pregnancy) then this pregnancy is not at any increased risk compared to others.
What did the doc say. Who did your tubal, u should ask that doc, as that should not happen as u should have had i assume a negative blood preg test before the surgery was done, u will need close followup to see if the preg will be viable and to make sure u do not have an ectopic and then u can be followed by the appropriate tests after that if it is in the uterus and you plan to keep the preg.