Yes! A cortisone shot is safe while pregnant. I'm almost 7 months and I've had 3 shots while pregnant (I've had really bad luck with pregnancy acne!). Both my dermatologist and my OB said the shot is safe. It is such a low low dose, and it stays very local in the area injected that it shouldn't even reach baby.

Just a quick note, make sure to tell your dermatologist (or whoever is doing the injection) to keep the cortisone dosage VERY low. I actually got an indent from my second shot, such a bummer. I think my skin reacted a bit more sensitively to it while pregnant.