You should never use pine or cedar bedding, much less for a pregnant doe. The aromatic fumes are irritating to the eyes, nose, ears and skin. Aspen is a good choice, comparable in price, with no irritating fumes. It does a pretty good job of odor control, is attractive (the mice look good against it's color), absorbent, and smells nice and fresh.
As mousetress says, pine and cedar are toxic to all small animals. Despite what the companies tell you, they should only be used with large animals who live outside (like horses) where the ventilation is good enough to diffuse the phenols.
I agree that you should avoid pine (and cedar) although I think kiln dried pine bedding may be safe (we don't seem to have this in the UK) but I'm sure Jack will be able to confirm. I use hemp bedding sold for horses (Aubiose) but this is a French product and I don't think it's available in the US. There are Carefresh and Soft Sorbent but I think some people find these dusty and/or unpleasant smelling - again maybe Jack, Moustress or another US member can advise on that. I wouldn't give newspaper alone as bedding myself as it's not very absorbent and is quickly trodden down to nothing when nesting. Try shredded paper (like you get from the office), soft hay or you can also buy commercially packaged bedding that looks like either shredded jeyes clothes or teabags (!). Sorry that is the best way I can think of to describe it. I will say though that for a pregnant doe I only use cross cut shredding (small pieces) and not ribbon cut (long strips) as the babies can't get tangled up in it and it's much easier to inspect the babies in the nest too.
I've heard of people using the kiln dried pine, too, but it's hard to find. I also know a woman who uses coir (dried and re-hydrated coconut husk) like people use in reptile setups. She seems pretty successful with it, too.
I won't use newspaper because it gets toxic mold growing in it when it's damp.
I got sick when we had cellulose insulation put in the attic of a house, and then it got wet because the new roof vents didn't have screening to keep the sparrrows out. the birsds built nests in the vents and when it rained hard the nests acted like sponges which, when saturated, let the water run down the inside of the roof, wetting the insulation. I had chronic upper respiratory problems for about a year until we figured out what had happened when we replaced the whole roof. Beware of public programs offering free home improvements as they are often worth less than you pay for them.
Dont use pine shavings, i used it once and two days later, my poor mousey died! i dont reckomend newpaper, it might be a bit cold. i use strong ( but soft ) facial tissues, some fluffly wool, and a little cuddly rag that they like. But tissues and some special petshop bought bedding should work fine. the only problem with my doe, is that she keeps messing up the nest, i mean, really badly!