You're both on house arrest and you get to taste the little bit of parole once in a while... that can definitely be a source of pure insanity for anyone who has to care for a kid all alone, especially with the looming second on the way. Her house arrest sentencing just began all over again except she doesn't get the benefit of being able to have a break, like a drink, a good night's sleep, a shower.
Your post doesn't make it clear just how much together time you have. If she works, or is stay at home parent, or if she has any friends herself. Sometimes the worst cases are the tag team parenting where it's always just one of you handling the child(ren) while the other is doing whatever - work, passing out if you're lucky, or anything that's not being pounded by life. And while it may be good for you to have a friend and dream of a life where you can go out for the day and the home doesn't collapse, you might need to make sure she has some kind of equivalent.
Your son is 4. That's a great age for you two to run amok and see all the crazy things a 4 year old boy can do while your wife gets to sleep, or go out and do something at 4 months pregnant. But a good balance of things doesn't necessarily mean the whole family has to do things all together all the time. If it did you'd probably find how much you're not doing because the stars never align.
I agree with sleske's comment though - under no circumstances should she be telling your son you'd rather be doing something else rather than spend time with him. By that logic we should all quit our jobs, drink profusely, gamble everything away and hold no regard for tomorrow. Our lives are filled with things we do that rob us of family time. Some necessary, and some are like maintenance on the mind. Like runners, mountain climbers, swimmers, fishers, hunters, and other things people hold interests in. If you don't have something you like to do you might not like the rest of the things you do because everything feels like an obligation. It kind of sounds like your wife needs an interest. Maybe even one you share and do together while someone watches your son.
Personally, I'd say after ten years of marriage you probably know your wife. You probably know the things she's into and the things she would like to do if she wasn't constantly on kid patrol. I would see about focusing on slipping in some of her interests, take her out if that's what she's into, and make sure she has a healthy balance of child insanity and personal freedom. Your friend should understand you may not be totally available so you might not be able to take random days off. But the happier she is with her free time, the more likely she will be ok with you having some of your own. Subtly seek her interests. If you ask directly, it might sound passive aggressive and suggest that you just want to get it out of the way so you can do your thing.
As for what can it do to a child - well the obvious thing is repetition and sentence structure can impress upon them that indeed you would rather be doing something else. It also teaches them a path of logic that could lead them to jumping to these same conclusions in other scenarios. They may feel this is logical any time someone goes anywhere. They would rather be doing anything else than be with me. Not limited to just you. But his mother as well. And if she's saying these things about your spending time away, what else is she saying? Not that I'm saying you should ask, but more to emphasize that positive influence and seeking her happiness may dissipate this underlying aggression and the need to speak like this at all may just disappear.