There is nothing unlawful about such a statement. It essentially shows that the employer had a non-discriminatory, and therefore, lawful, reason for terminating you, but refrained from taking action due to your pregnancy. In other words, the employer could have terminated you because, for example, it perceived you as a poor performer, but it was worried that doing so might prompt you to file an EEOC charge or lawsuit against it. The statement, if anything, shows an overly-cautious employer, but not one with the intent to treat pregnant employees less favorably than non-pregnant employees.

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The employer may state that he would have fired you had you not been pregnant. However, do you have facts that would challenge his assertion. If so, and your employer is covered by the FMLA and pregnancy discrimination laws, you may want to file a complaint with the EEOC. I have provide links to both the Department of Labor and EEOC. The Dept of Labor covers the FMLA and the EEOC covers pregnancy discrimination.

(www.dol.gov) (www.eeoc.gov)