Ignoring the pregnancy for a minute, I guess that yes you can be granted a 457 and move to Oz while a 136 app is in the system (as far as my understanding of it goes anyway) but you would have to leave Oz to have the 136 visa granted as you must be off-shore at the time. So probably a trip to NZ would be in order.
The other point is that if you can't take a medical for a 136 until April, then surely you can't take a medical for a 457 either? If you had a 136 app in the system and they requested medicals (say) next March, then you would be better carrying on with this course than taking the 457 option anyway. Explain to your company that you would like the transfer but your visa is in hand and maybe they would like to make a contribution to the costs ;)
If you do go down the 457 route while your 136 app is in the system, play it very carefully. It would be easy to get into a mess and end up with on (or both) of the visas cancelled if you don't do everything just so. Keep DIMIA informed of any changes in your circumstances and make sure that the guys working on your 136 app are aware of your 457 app visa.
If the company will foot the bill, get a good agent.
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