During the third trimester, some specific changes in your body can have an effect on exercise.
Many things add up and potentially lead to being uncomfortable. Your growing belly gets heavy. You could have swelling of your legs and feet and increased body temperature due to the growing fetus. These things alone, among others, can make for an uncomfortable time.
One change that will directly affect exercise is your body's natural preparation for childbirth. While your body is getting ready for labor and delivery, it releases the hormone Relaxin. Relaxin does what it sounds like. It relaxes your muscles creating more flexibility.
While an individual's comfort and energy levels might affect how they exercise personally, the thing to be noted overall is the release of this hormone, which is a wonderful and natural thing your body does to prepare for labor.
Mothers should be careful not to injure themselves due to their increased range of motion. An increased range of motion creates less stability, and where there is less stability, there is a greater risk of injury.
Of course, if you have questions consult your doctor as each pregnancy is very individualized, and your strength training should reflect that. A good overall thing to keep in mind is that during this third trimester focus doesn't need to be on a specific athletic goal, rather should reflect something that you enjoy and makes you feel good.