Now, I could be wrong, but I have heard that it is more expensive to send a person to death row and execution than it would be to keep them in prison for the rest of their lives. That's apparently because of the costs associated with the defendants filing appeals, the cost of keeping the area so high security, and other such things. The way death row operates just isn't terribly practical economically... again, from what I have been told. I'm not entirely sure.
Secondly, there are a lot of racial issues surrounding the death penalty. Black men are more likely to be sentenced to death for the same crimes a white man comitted. I just don't think the system works in such a way that execution is a good way of going about things.
Now, as for the question of why some pro-choice people might be against the death penalty (and not all of us are, by the way, we aren't a hive-mind), here are my personal feelings. Don't take it as the voice of the whole pro-choice movement.
1. A conceptus has (or should have) no rights. It's life is (or should be) entirely in the hands of the person gestating it. It is not (and should not be) granted any sense of personhood other than what the mother wishes it to have. I do not think that murdering a pregnant woman should count as double murder. I do think that forced abortion (attacking a woman with the intent of ending her pregnancy) should be a crime, but not one considered murder.
2. I do not believe it is ethical to kill another for the sake of "justice." I consider that to be more like revenge. Also, unlike a conceptus (in my opinion), a death row inmate is a person and has certain rights. I think that no matter what rights they are stripped of in prison, they still should have the right to not have their death forced on them.