Hi Lisa! Seems that Macey's one sensitive little toddler. I must tell you that it sounded cute to me how receptive she is. Not that is funny to be woken in the middle of the night. It's just that I love the toddler mind and how they have sucha good memory. We could use that memory ourselves, couldn't we?
I think you'd find great success by using Gradual Withdrawal while this fear spurt lasts. You can find it described under the FAQ section of this board in the thread called Teaching Independent Sleep. You can keep doing what you're already doing (telling her it's ok and talking to her about it) but when she goes down, you go to sleep in her room, that way, when she wakes at night she'll see you right next to her and hopefully will go to sleep better. Since it's just a phase, I'm sure she'll get over it quickly and you'll be able to move yourself out of the room within a 2 weeks period.
Another thing that might help is buying a "rescue fairy" or something like that. You buy a night light with an angel, fairy, whatever she likes and tell her she's the one that's gonna take her during the night. The angel/fairy/whatever will not allow loud noises and has the power to shut them up kwim? If she's still afraid of Santa, buy her a stuffed one and have him around the house to hold/snuggle. Take yourself a pic with a large Santa and show her how good he is and that you're not afraid of him. She will eventually recover her confidence after repetition.
HTH and keep us posted. Congratulations on your pregnancy!