Unknown pregnancy while taking birth control

Hello everyone. Today I'm feeling down due to the fact that I started birth control pills last month and today after I took my final pill of the first month I went to use the bathroom to do my usual thing for my menstrual cycle since it started on Thursday. I discovered something like a clot... I examined and it popped and I recognized that feeling since I do have 3 kids already.

I'm guessing I was nearly a month pregnant and my birth control aborted the pregnancy. I called my husband right away. He laughed a bit about it to try and soften my mood but I'm upset to even think this is because I started my birth control while on my period not knowing I was pregnant.

With all three of my kids I had my period the first month after conceiving so I didn't think anything of it.

Has anyone gone through this before? I'm also unsure of whether I should run to the ER since I already flushed it down the toilet after asking my husband if I should and he said to not worry so much that at least I have photos.

Also why do I feel so bad about it and why didn't it show up on any urine tests I took before I started my birth control (even though my period came shortly after)?

Thank you for reading. If you want to see the photos let me know I will post in the comments.