The main risks during pregnancy for thalassemics are clotting disorders, that can lead to miscarriage.
If it is alpha thalassemia of the major type, the baby usually does not survive to birth and if it does, dies shortly afterward. This may be the case with the woman you know, if thalassemia was involved in the death. Alpha thal is very common in Southeast Asia.
Beta thal majors can get pregnant, but for many majors, it is very difficult to get pregnant. When they do, the pregnancy does have to be closely monitored and extra transfusions given if required. Proper transfusions can reduce the risks during pregnancy. It does help to have a decent medical system for majors to have successful pregnancies. As long as the father is not a thal carrier, the children will all be thal minor.
Should thal women be advised to not have children? I do think any woman who is a thal major needs to be honest at what type of medical system they have available during the pregnancy and birth. If inadequate, I don't think the risks are worth it. Many majors do have children, but most I know who did had good medical care available.