Even as small as 800 grams, a preggers female has a very good chance of being the perfect picture of health and laying just fine.

There are always risks with pregnancy, egg-binding of course is the most talked-about, and small size can statistically increase these risks, but if you want to take the word of someone on the internet who you've never met, I'd say any risks to your female are still extremely low, even if she did lock, and even if she does become pregnant.