The APTA description of dry needling in clinical practice document recommends caution when needling patients in the first trimester of pregnancy.
Park et al The safety of acupuncture during pregnancy: a systematic review. Acupuncture Medicine. 2014; 32:257-66. and, Carr, D. The safety of obstetric acupuncture: forbidden points revisited. Acupuncture Medicine. 2015; 33:413-419. Both state that acupuncture at forbidden points: does not increase the risk of adverse pregnancy outcome in controlled clinical trials; is not associated with increased rates of adverse pregnancy outcome in observational studies, and does not induce miscarriage or labour..
Thus, your patient at 36 weeks pregnant may benefit from a trial of dry needling for her sciatic nerve pain, provided there are no other contra indications or precautions to dry needling.
If you do find any more specific references to dry needling (or acupuncture) for sciatic nerve pain during pregnancy, do share them with us.
Also consider sharing your patient’s response with the forum as a case study.