I agree that you need to tell your man how you feel. Then he needs to be the one to deal with this. He needs to set guidelines with his family about the use of their key. He needs to let his parents know how important your privacy is and that you are both adults and should be treated as such. This is a common problem that will not go away unless you communicate or give some clear sign that you have had enough. I say have him talk to them first and if you see no changes in their behavior, then change the locks. Do what you have to do. Some people just don't take the hint until you give them a good slap in the face so to speak.

As for the nagging, you are just going to have to put her in her place one day. When she is nagging you about the baby, just tell her like it is. She will get mad and may be hurt, but it's just what some people need to wake up. She has no problem complaining about how you do things so you should have no problem complaining to her about how SHE does things.