That's right, rootsmith.
This is a big oversimplification, but think of it this way:
When you're pregnant, there's basically a semi-foreign body growing inside you. Under normal circumstances, your immune system would not tolerate the fetus and would attack it. One of the many functions of the hormonal changes during pregnancy is to suppress the immune response so that it doesn't go after the growing fetus.
It has been shown that during pregnancy, cortisol levels, along with lots of other hormones, increase. Cortisol, as you may know, is the naturally occurring hormone produced by the adrenal glands that regulates metabolism and immune function (inflammation). Now if that sounds a lot like prednisone, you're on the right track: Prednisone is a synthetic mimic of cortisol. When you take prednisone, it's the same as increasing your levels of cortisol. So if you have increased levels of cortisol while pregnant, it's like being on prednisone.
Like I said, that's a huge oversimplification, and there are lots of other things happening simultaneously, but it gives you an idea what's going on.