getting pregnant on IUD?!

So, I'm really doubting that I am, but I've been paranoid that I'm pregnant even though I have the merana. I'm wondering if I'm going crazy because I don't get a period anymore...  but I'm peeing non stop which happened with my first, and really bad gas (sorry tmi). Also a few weeks ago I had severe cramping but chalked it up to a cyst or mental cramps without the period. 
Has anyone ever heard of getting pregnant with the IUD? Should I get a test?!