I had a MIrena in so this is the info WRT that (though i'll leave out the possibility of teratogenic nature of the hormones bit since the copper ones don't have hormones).
The leaflet says it can cause ectopic pregnancy, that removing it can cause miscarriage, and that leaving it in can cause misscarriage and sceptic abortion especially in the 2nd tri, and premature birth. They don't give stats on either as a likelihood though and i have read elsewhere that sceptic abortion especially is very rare.
My advice (in case you care :P) is to do an HPT, establish pregnancy or not, feel for the strings and see if the IUD is still in here (i have 2 friends who "lost" theirs and counterintuitive as it seems neither noticed it falling out) then get a scan to see here the pregnancy is in relation to the IUD. Ectopics obviously have to be treated ASAP, and if the pregnancy is normal there's a possibility the doctor will be able to see how close the IUD is and whether or not miscarriage would be immediately inevitable. From what i've read online some IUD's are tangled in the pregnancy from early on and removing them is very disruptive and other times the IUD can be gently removed without too much danger. I do remember reading somewhere before i had the Mirena fitted that the risk of foetal death (by any mode) is slightly reduced with removal when compared to leaving the IUD in situ BUT that was with a specific brand of IUD (dalkon sheild i think) which as far more prone to cause sceptic aborions. The doctor who fitted yours should be able to tell you the stats and your options.
It is VERY possible the IUD fell out a month or two back. Best of luck hun.