Progesterone Injection Reaction?

Has any else had a reaction like this to the shot?? This showed up the next day and was hot, itchy and burned a bit. I was 30 weeks at this injection. I forget when I started them, maybe around 20 weeks, and I feel like the reaction has gotten progressively worse with the last time being the worst by far. Before that, the last maybe four or five injections I have just had a small slightly raised hardish lump that was a bit itchy an

d hurt a little bit just for about a day. Also, you can see all of the little prick spots from the needle, they have not healed completely which is weird. I'm concerned about stopping... will my body not make its own progesterone at this point? The doctor didn't even know if I needed progesterone injections to begin with, they just put me on medication because my daughter was born at 35 weeks. But all of my progesterone tests leading up to starting the injections this pregnancy have all been perfect. But they put me on it as precautionary anyway. I'm going to call the doctor about this tomorrow, I just wanted to hear of anyone else had the same experience. THANKS!