Typically all coleslaw is made with pasteurized mayonnaise and in that it is safe to eat during pregnancy. However, coleslaw bought from stores (packaged or from a deli counter) as well as those available in retaurants (eg. fast food chains such as KFC or Nandos serve coleslaw as sides) are less safer due to the risk of cross contamination. Listeria can grow even in packaged versions due to high moisture content.
Therefore, any store bought or restaurant coleslaw should be avoid. If you are craving coleslaw, it is best to make it at home using pasteurized mayo. You can add packaged coleslaw dressing to your recipe as long as it contains pasteurized eggs.
For home made versions, make fresh and eat quickly. Don’t store at room temperature for long and keep it covered in the refrigerator.