I am employed at a law firm in NJ with main offices in NY. I am currently 30 weeks pregnant. The firm is having strong merger talks which could happen by year end (I was planning to take leave around mid Jan.) What are my rights in regard to keeping a job or at least being provided health coverage and a severance packag?

The same as that of any other employee. Being pregnant does not give you any additional rights over other employees in this situation.

Thank you. I have been told that companies are not inclined to fire pregnant women as it may spark a discrimination claim.

They cannot select you for termination BECAUSE you are pregnant. But if your position is one that would have been selected for termination regardless of your pregnancy, being pregnant does not protect you.