Why do doctors ask your shoe size when you're pregnant?

Probably to see if your shoe size remains the same throughout your pregnancy because swelling of the feet can be an indicator of problems like pre-eclampsia, or toxemia of pregnancy.

Swelling caused by extra fluids (called edema) during pregnancy can affect all parts of the body.

Also, during pregnacy the body produces a hormone called relaxin which loosens the joints in the pelvic area (and lengthens the cervix) to allow for the natural birthing process. This also tends to loosen the ligaments in your feet and can cause the bones in your feet to spread.

Personally, I was never asked by my doctor...

Well thanks for clearing that up, because at first I thought my doctor was just asking it as a joke, but then when I went up to the birthing center to pre-register they asked the same question.