The pregnant woman was shot in the forehead because she tried to protect the protesters, the reports said.
At least five people have been killed, including a woman and a child, and at least 15 others in a violent crackdown by the military junta in Mandalay on Saturday.
Five of the injured are in critical condition.
According to the United Nations human rights investigator on Myanmar, the military junta has 'murdered' at least 70 people since its February 1 coup.