I'm sure you've heard the advice, "You should be able to talk/sing during your workout." I think a big part of it is to not overheat, and to not overexert yourself since now you have another life inside of you (which requires a lot from your body!).
I found this little piece online, "Because your heart rate is directly tied to your baby's health, making sure it doesn't get too elevated is key to keeping your baby safe while you're exercising. As you work out, normal blood flow shifts away from the uterus and your baby and to your internal organs. Working out too hard can cause too much of that blood flow to move away from the uterus, putting your baby at risk." If you're working out so hard that you can hardly breath, but not ideal for the baby. I believe first trimester is the most likely time to miscarry, as well, if you're exerting yourself too hard. I'm obviously no expert, this is all stuff I have either researched, read in an article, or have been told by other specialists and experts, so anyone correct me if my information is wrong!