Do get the pregnancy confirmed by a vet, and get the mare a good once-over to make sure everything is hunky-dory in that department if you haven't already. That should be done whether you're riding her or not, and whether she's behaving herself under saddle or not. Basic broodmare care.
That being said, unless she's really close to foaling, I highly doubt that her issues under saddle are related to her pregnancy. Possible
, but unlikely. Most mares can be ridden for the duration without trouble.
It sounds to me like the mare is testing you, and has your number. Ask, suggest, then encourage her to do as you ask, escalating the aids until you're getting a result; as gently as possible and as firmly as necessary. Take no crap; you asked her to walk, and she's saying "NO." Correct her and move on. If you're really having trouble keeping her going or turning, I recommend getting some experienced help or a few lessons on the mare to figure out how to do this effectively. If she was being ridden, she knows the drill. You need to learn how to get the response from her.
Good luck, both on riding and with that potential foal!