You see a Soldier with a high risk pregnancy smoking. What would you do?

I would approach this situation carefully.
1) Whatever you say, do it in private.
2) Encourage the SM to cut back.
3) Encourage the SM to not smoke in the presence of others.
Smoking while pregnant is a situation in and of itself. However, quitting smoking while pregnant can cause undue stress on the mother and baby. I have heard it both ways working with patients. Some doctors will say to quit. Some doctors will say to cut back as much as possible. If she smokes like a freight train then there are certainly some encouraging words that could be offered. If it is limited, I would not say anything. If anything, something to the effect of, "Thanks for not being a heavy smoker." Its a delicate topic either way. I hope this helps.

Nothing, what she is doing is not against any regulation or current policy. She has probably been told a million times what a crappy choice she is making regarding the health of her unborn child. All you can do is to offer the programs available to her and hopes she is able to conquer her addiction.

I would mind my own business and not try to assuage my conscience by saying something gratuitous to her which she has probably already heard a dozen times from everyone and their brother, medics, preachers, priests, superiors, parents, sibs, teachers, etc. She has had many opportunities to make an informed decision one way or the other and will have to live with her decision.

Unfortunately, there's nothing you can do as far as I know. Unless they put it in the regulations, she's going to be able to smoke whether she's pregnant or not.

As has been noted, as a leader, as a peer, senior or subordinate in that situation your obligations are limited to providing information and then if requested assistance to help her with her addiction and unhealthy lifestyle.