Weight gain but arms and thighs are thinner

It's actually possible that the weight gain is mostly from your baby, placenta, amniotic fluid, and increased blood volume, while your body may be redistributing or losing muscle tone in your limbs if you've been less active as the pregnancy progresses. Since you're noticing something that feels off to you, it would be good to bring it up with your gynae or PD at your next visit, just so they can take a proper look and give you peace of mind. You're doing great for paying such close attention to your body, hang in there!!