A little late to weigh in here, sorry!
At first I was going to say give them a chance. After a couple weeks at work, she may be feeling better about this big change.
HOWEVER; I think you made the right decision, and you may be able to use her pregnancy as an "out". Return the deposit, thank them for everything, but let them know that you were looking for a family that could make a long term commitment to you. Wish them the best, and then bid them goodbye.
Hope it all goes well!
PS- Better to have to "choose" between 2 families than to have to "take what you can get", am I right??