As long as the cheese has been cooked you can safely eat the cheese sauce while you're pregnant.
Cooking the cheese sauce helps kill any bacteria that could be contained in the cheese and cheese sauce that would make it unsafe to eat while pregnant.
When cooking the cheese or cheese sauce cook the cheese so that it's steaming hot all the way through it and the bacteria in the cheese that may be in it will be killed and then the cheese and cheese sauce will be safe to eat.
Just avoid eating uncooked cheese while pregnant due to the potential of bacteria that could harm the baby while in your womb.