pergant new hire got a warning

I'm a new fire of my current employer, but got to know pregant after 1 month working there. Informed supervisor and he seems not happy and concerned about my maternity leave much! One time I was so tired so closed eyes on trading desk (where I work) for several mins, he seems mad and wrote me a warning against it. Is it illegal? Should I sue him? How?

I'm so upset!
Thanks