There is not a lot of research on this. The more "intense" orgasms get, the more they are likely to trigger contractions. During a normal pregnancy, this is fine (strong orgasms) but if you have preterm labor, placenta previa, have ever had a placental abruption, or have an incompetent cervix among other high risk pregnancy problems, anything which causes really intense contractions is usually not a good idea.
I would also worry a little about the bacterial issues with anal sex. When you are not pregnant, your immune system is strong, but pregnancy causes a drop in immune function, so you don't see the fetus as an "intruder" and your immune system doesn't try to get rid of it. Thus, you immune system is not as strong and you are much more susceptible to viral, bacterial and fungal infections during pregnancy.
I'd ask your doctor, though. Every pregnancy is different.
You can live without a lot during pregnancy, if you need to, You know it will end soon, and the health of the baby is important. (I had to give up sushi and orgasmic sex. It sucked!)
Although there is very little data on anal sex during pregnancy I know I would NOT do it. I love anal sex, but I would give it up during pregnancy, to be on the safe side.