Pregnant while on depo shot??

Marnaè • mommy to a beautiful baby girl 👶🏽🎀
I have a question... Have any of you ladies gotten pregnant while on the depo shot?
I had a miscarriage this past January and I went to get my 2nd shot this past Monday and they said I couldn't because I was pregnant. The nurse who was going to give me the shot seemed very shocked/surprised. She thinks I may have conceived right after my miscarriage & before I got my 1st shot. I don't have an appointment with my OBGYN until Tuesday. So I have no idea how far along I am or anything.