It's not unusual these days for a woman to be pregnant when she gets married. Would it be bad etiquette to have a combined bridal/baby shower before the wedding, and list baby/nursery gifts in the wedding registry? Also, when does someone usually have a shower? The day before the wedding? This is assuming, of course, that everyone already knows the bride is pregnant.

Showers are typically held a few weeks in advance of the event they are held to honor... A party the day before a wedding or close to a due date could pose a bit too much strain for the guest of honor.
In conservative circles, some people might consider it to be in questionable taste to hold a combined shower, or to include baby things on the registry, thus calling attention to an "out of wedlock" conception (not saying I agree, just pointing out how some might view it) but if the proposed shower guest list includes only close friends, as shower lists ought to do, I can't see any valid reason not to do it...except one, and that depends entirely on the bride...Being pregnant while planning a wedding is an awful lot to chew on...She might like to have an afternoon of just being a "bride", rather than a "mother to be" and if that is the case, give her a bridal shower with not a single baby gift in sight....the baby gifts can be given at a separate shower or when you get to meet the baby in person.

i would never combine them, because they are two seperate major events in someones life.

i wouldnt consider it to be bad etiquette, but i myself would want two parties! if the person wasnt pregnant at the time of the wedding, they would get two parties, so why should it be any different for someone who is pregnant?

and on a side note, i find its better to wait until the baby is born before a shower. that way people can get 'gender specific' gifts, and buy blue or pink if they want, instead of a whole lot of yellow.
of course, there are a lot of people who would frown upon waiting, but hey, etiquette isnt a law or anything, and if they dont like it, thats their problem.