This link gives you up to date information on the use of Vicks Vapour Rub -
http://www.netdoctor.co.uk/medicines/100003813.html
As with many medicines - they can't licence many things because of the ethics involved in tested drugs on unborn babies and pregnant ladies.
Even if you phoned your equivalent of NHS24 (as is in Scotland) which would be NHS Direct, they will be able to find out from a GP on call if you can be permitted to have it or not. It might be best to call them this evening rather than a pharmacist in the first instance, since a pharmacist may tell you to seek the advice of your GP. Your call shouldn't take long and they will be able to set you straight - I used to work for NHS24 myself not so long ago and we would often get calls from pregnant ladies looking for meds advice. Good luck,xxxx