We were never asked though didn't travel as late as you are going to. I think you will have to be very obviously pregnant for the question to come out (pretty awkward for the person asking to get it wrong...).

I would really think it through, having had a baby born at 30 weeks without any warning (she is a child now and doing well) it will be a major issue for you if the place you are going to is not home or familiar environment and if your medical coverage does not apply. Remember that a baby born that early will likely spend at least a month, possibly a lot longer in the NICU.