Amber Thompson, who is 20 weeks pregnant, said she was walking near Tesco, in Old London Road, at about 8.15pm on Monday (July 19) when she heard a loud bang and felt a pain in her left shoulder.
The 22-year-old said she did not see who fired – what is believed to have been a pellet – at her but that it came from a black car.
Amber immediately called her parents, who told her to go home, and she was met by paramedics.
Due to blood coming from the wound below her left shoulder, and a high blood pressure, Amber was taken to hospital where she remained on Tuesday morning.
Amber’s mum Sandra said her daughter cannot feel her left arm and has been sent for an x-ray and ultra scan.
The incident has also been reported to the police who are due to interview Amber later today.
Sussex Police have been approached for comment.