Folks in England aren't sure, but they've been telling pregnant women to stay away from them anyway (what gives? first it was beer, and now peanuts?? Is nothing sacred anymore?). See, the nut-allergy rate of children on the Isle of Wight jumped precipitously from 1989 until 1993, so doctors started telling pregnant woman to lay off the peanuts if there was a history of associated conditions (eczema, asthma, or hay fever) in the family. But those sheep-like brain-dead pregnant women, darn it if they didn't practically all quit eating peanuts ( I would have too -- baaa), even those who had no history of the associated conditions. So now they've got a bunch of data that's pretty meaningless. Only 13 of the 660 children living on the Isle of Wight have a nut sensitivity, and in 10 of those cases their mothers continued choking down PB&Js anyway despite the advice.
While no one in England is willing at this time to say that eating peanuts in pregnancy does not cause nut sensitivity in the resultant infants, they don't quite want to go out on the limb that says it does. Meanwhile they're telling pregnant women to lay off the peanuts, just in case.