Pregnant cats may exhibit behaviors that suggest they want to run outside, which can be due to a variety of reasons:
Driven by instinct: Cats are born with a desire to explore and seek out new things. Pregnant cats may try to escape and explore the outside world because of these instincts.
Stress relief: Even domestic cats may need stress relief, and may become more active at night and want to go out.

Curiosity: Pregnant cats may be more sensitive to external sounds and smells, and their curiosity may drive them to go out and explore.
Exercise needs: Pregnant cats may need more exercise, but due to their increased size and abdominal weight, they may seek opportunities to go outside.