Hell has no fury when a pregnant woman has a craving for a pickle. More an observance in self-preservation than a superstition. However, the saying does have its roots deep in superstition. There was once a belief that if a pregnant woman went without satisfying her taste buds that her child will be "Marked."
I'm talking Birth Marked. Today we know what birthmarks are; benign irregularities in the skin that appear shortly after birth, caused by the overgrowth of blood vessels, fat, muscle, fibroblasts and keratinocytes. Vascular birthmarks are the large dark reddish purplish marks, 1 in 10 babies have one vascular mark by the age one. Moles and ageing spots are the common type which almost everyone gets called Pigmented birthmarks.
During the middle ages, you dared not mention food that could not be obtained locally, to a pregnant woman. God dared you not to mention a pickle, for fear of the "Mark," the Devil's Signature. Cherries, strawberries were also classified along with the pickle as unmentionable appetifs by the Church. If red wine was thrown into the face of a pregnant woman, it was believed to leave the "Mark," on the baby's face.
This belief is called the Maternal Impression, which means whatever the mother experiences during pregnancy will become visible through the infant after birth.
We know now that Birthmarks are not hereditary and are believed to be formed when there is a disruption in the development and growth of skin cells. They have nothing to do with a woman's cravings at the time she is pregnant. And no, Birthmarks have nothing to do with the Devil.