When a pregnancy occurs within the uterus and an intrauterine device (IUD) is in place the IUD will  be found  between the fetal membranes and the uterus. 

There is no evidence that the presence of an IUD in the uterus during pregnancy increases the risk of birth defects in the fetus.

However, there is an increased risk of preterm delivery, and there is an approximately 55% chance of miscarriage if the IUD is left in place.  The risk of miscarriage is about 20% if the IUD is removed or spontaneously expelled.
 

REFERENCE
Family Planning. In Stenchever MA, Droegemueller W, eds. Comprehensive Gynecology. 4th ed. St. Louis: Mosby, 2001: 341-342