No, you don’t. It is usually sensible to wait until you have a job offer, preferably in writing, before you tell an employer that you are pregnant. By law, they are not allowed to withdraw the offer because you are pregnant.
Alternatively, depending on how many weeks pregnant you are, you may decide to wait until you have started the job. If you tell your employer once you have started and they ask you to leave, this could give you cause to raise a claim against them for sex discrimination or unfair dismissal.