1> Is there a way to stop my brother from entering the premises without our knowledge?
You can file an injunction suit restraining your brother from accessing entry into the locked house during your absence and also for trespassing the dwelling house.
He can file a partition suit and ask for his share and separate possession of the same through a court of law alone and not by taking law into his hand, you may even issue notice to him asking him to refrain from indulging into such illegal acts or else he may be booked under criminal trespass offences for which he may be held liable for the consequences including damage and loss of articles at home.
2> He now is claiming to come and stay in a room and share the hall and kitchen with us. is there a way to stop this from happening?
Actually he is entitled to a share in your father's property who died intestate. However this is not the procedure to claim a share. He is trying to be a trouble monger without understanding the law about dealing with a dwelling house. If at all he wants to establish his rights he can enforce it only through due process of law and not by taking law into his hands. If he is acting beyond law and continues to torture you, the next step you can initiate is to lodge a criminal complaint for criminal intimidation and other illegal acts, including trespass, abusing in filthy language etc.
3> I am 15 weeks pregnant - and he at an instance tried to barge in (when i changed a lock) , and threatened me not to change any locks in the home- how do we protect our privacy? and how do i save myself from any further mental agony, as this may affect my child?
As explained above, you may take the help of police if he is uncontrollable.