There is no evidence that says dying your hair has any negative effects. I had mine done at about 9 weeks, but did opt for highlights as this way the dye only comes into contact with the hair and not your scalp. I knew my hairdressers was well ventilated as well. The way I see it, is that hairdressers work around dye everyday and have to maintain their own hair to keep a well groomed image and they have perfectly healthy babies. I think the main risk is actually that the dye can react differently than it usually does because of hormones, so may be worth a patch test.
I have read that fake tan isn't recommended as well.