It is not harmful to use.Any medicine taken internally may be harmful during pregnancy.Any thing applied externally is not harmful, so it can be used during pregnancy time.
Vicks vaporub is not so dangerous if we use during pregnancy.However, it is safe to avoid it as it may have some side effects as raising blood pressure .This is of some doctor's opinion.
Vicks vaporub rubbed anywhere or just applied near the nostrils is not absorbed much into the body. It has not been shown to be harmful when used in pregnancy and when breastfeeding.