That's a difficult situation you're in.
A dog's senses are a lot more finely tuned than our own, and it is believed that they can sense pregnancy (in humans, as well as other dogs!), both through their heightened sense of smell and their perception of behavioural changes in pregnancy. I've also read theories on how they might be able to hear the baby's heartbeat.
This is all the more convincing when you consider that dogs (and other animals) have been known to sense natural disasters before they happen as well as detecting cancer.
I've talked about this subject in one of my hubs. But as I'm not a dog expert, I'm not sure how much I can help you beyond this! I'll just give you the impressions I get from what you have said.
The situation seems to be that you dog is jealous. Whereas some dogs become more loving and protective of their owner once they fall pregnant, others can get jealous and uncertain, much like a child. Their position in the family is threatened!
The answer for a child would be to give them lots of reassurance and attention. As you both work and are busy people this might no be so easy. It sounds as if he spends a lot of time in a crate (alone?), but that he needs you to spend more time with him. Would that be possible? MrsMoe's suggestions make a lot of sense.
Taking him back to the rescue is obviously an option if it's putting an unresolvable strain on you, because your priority has to be you and your baby, and you want your pregnancy to be as calm as possible.
The vet's already given you anxiety meds for him, but perhaps another option would be to talk to a trainer who is familiar with this kind of behaviour.