Is there a connection between having shingles while pregnant & it causing autism in the baby?

No. There are no approved or documented studies, publications that prove any relationship between shingles during gestation and autism. The prevalence of autism is about 1-2/1000 people worldwide and the (cdc) report 20 per 1, 000 children in the United States are diagnosed with autism as of 2012 (up from 11 per 1000 in 2008).