I do not mean to offend you with this answer, only my opinion:
first of all let me state my opinion on bisexuals. I have no problem with straight people and I have not problem with homosexuals. I have not problem with a single person trying their own sex. I do however have a problem with people who will have sex with guys or girls on a regular basis. This to me is slutty. Kind of like, I just want to get off, so who can I sleep with. (sorry if this offends anyone, but this is my opinion.)
secondly, if you want to experiment because you think you may be gay, o.K. Then you should leave your partner. At least take a break for you to find yourself. Guy or girl, sleeping with someone else would be cheating. Now, if you want to actually have a threesome, then you are taking the risks that you mentioned. The way I see it, as I have clearly stated in other posts, is if you or he needs or wants to be with anyone else, either cheating or threesome, then you are not meant to be together. Sex is a sacred thing for two lovers to share, not three or four or just whomever decides to jump in. Plus it is like you are now giving him permission to invite other people into your personal lives, mainly sexual, in the future. Whether he asks your permission or not (which he probably will) you will feel pressured and when the day comes that you finally say no, he will be pissed and will not understand because you did it before. I believe that experimenting is only acceptable if you are single and do it on your own terms and for your own reasons.
O.K, now my beliefs aside: if you do not feel comfortable with him watching, then don't do it. Experimenting with the opposite sex is private just like your sex with him. You do not need anyone watching. Plus, you will probably get extremely jealous where the other girl is concerned. Even if he does not touch her at all, the fact is he is being turned on as much by her as he is by you. Also an emotion you should not have to share.
On a different note. You said that you were pregnant. I do not know if you are planning to do this while you are pregnant or not, but just in case remember these things: you can easily get bacterial vaginosis, or chlaydia or a lot of other stds from this other girl. So be very very picky. I may even go so far as to all get checked and then go into this knowing what you are getting yourself into. Plus, the above mentioned infections could cause serious complications with your pregnancy, so be careful whatever you do.
Once again, I am sorry if this offended you. I truly am. I just believe that everyone, male or female, deserves that one person who gives them so much love that no one else is ever needed, for any reason.