First of all, this was an observation I made myself because unfortunately throughout pregnancy I've had some issues sleeping at night. It's completely normal, and seems like the majority of women don't sleep much especially in the third trimester. Mostly having trouble staying asleep due to discomfort, having to pee, rolling around (which isn't the same as before) and so forth. On evenings I decided to take a bath, I felt more relaxed going into bed and I found through my Oura Ring stats (more on it here) that I had a much more restful, deeper sleep with less wake-ups, on nights I took a bath 1-2 hours before getting into bed. 

So why do baths help you sleep better?

In this clinical review, it's clear that heating the hands and feet before bath time is actually going to help overall sleep throughout the night (Science Direct). The same conclusions are founded in several other studies, including this one conducted in Japan, as well as this one. If you take in the concept of bears hibernating, this might explain why the rise in temperature and laying in bath water can really help the body get into a comfortable state, in order to be able to stay comfortable and in turn, asleep, for longer periods of time.

The second piece of this is specifically what you put in the bath. For me, I love a fancy concoction of products that mix in magnesium and a lot of delicious ingredients (like coconut, oils, etc) that will help promote better sleep too. There are many proven benefits to magnesium, which is the main ingredient in most bath products, but magnesium "binds to the receptors in your hypothalamus, affecting the release of Cortisol and adrenaline through your pituitary and adrenal glands" (The Salt Box.)