I'm pregnant and a regular at my gym. As I go to an all women's gym during the day, I meet a lot of older ladies who are all fascinated by my pregnancy and thrilled about the thought of another baby to coo over soon.
They comment a lot, ask what I can do, how I'm feeling, tell me I'm radiant/big/small/have popped out/will get much bigger soon/whatever and I smile and say "thank you". I do talk about how it's up to each mom and their doctor and trainer to figure out what is allowed and/or recommended as i figure it's good to get the word out there (a few daughter-in-laws might profit, too) and my Pilates trainer is great at answering any questions posed while she's in the room.
I'd advice the PT - who, as others have mentioned, is a professional and whose body is in fact one of her tools - to be open about the risks and lack thereof of sports during pregnancy and ignore/bean dip comments she doesn't welcome.
A quick smile and thank you usually deals with it perfectly, most people will move on to other subjects after that. Or maybe my belly just isn't that fascinating after all