Today, I was dreaming about this millionarie who was holding these two women captive. I felt like myself in the dream when I went to rescue them. We escaped from his house and hitched a ride w/ an international spy called Dan. The three of us were sitting in the backseat when I had the sudden urge to have sex. I turned to the brunette and was pleased (of all things) to see that she was ready to have sex with me. I immediately responded to her invitation and had her sit on my penis. The problem is: I don't have a penis! I'm female and also pregnant! The dream got rather graphic after this and I awoke in a light sweat. I've never had the urge to have sex w/ that of the same sex and find this highly disturbing.
Good morning, Tiger.
Relax. You're probably not turning into a lesbian.
As a rule, I don't hold with the Freudian theory of "penis envy," but at certain times a woman can envy what is perceived as the ability to have sex without consequences. I think that this is often (not always) where this particular theme comes from. Being pregnant does not exempt you from normal sexual desires, which can be felt while asleep and dreaming -- and this dream provided a setting where it was possible to have sex without any repercussions or guilt (just like James Bond).
The two women being rescued are most likely representations of yourself. Being rescued from a millionaire could represent freedom from financial responsibility (it's hard to imagine anyone who wouldn't want that kind of rescue).
With that possibility in mind, it could be that your nocturnal sex change was just a device that made it possible to be intimate with another facet of your own self. In this case it might be interesting to learn what facet the brunette represents - and also what facet the other woman represents, for you chose the brunette over her, even though you rescued them both.
I would also want to explore what the spy named Dan means to you. He could represent a secret (secret agent Dan) or a mystery (international man of mystery), or any factor (or "agent") which enables you to embrace yourself as a worthwhile person deserving of rescue and love.
The bottom line is, you don't have to be disturbed by this type of scenario in a dream - if it was not disturbing while you were dreaming.