Dr couldn't see anything, says it was just too early..??

Ali • Married to my Best friend and soulmate, 3 children, and recently found out we've been blessed with #4 due May 2016!!
Hello! I'm 32 years old, my husband and I have been trying for our 4th, and last baby for the past 8-9mo. (We have a 9yrold daughter, 8yrold son, and almost 3yrold daughter.) These last 8-9 months since I came off birth control (depo-provera), my periods have been all over the place, never 28 days, more like 33-35+ days usually. I took 2 pregnancy tests after my period was 3 days late, one the evening of the Sept 24th, and got a faint positive line, so I took another the morning after, the morning of the 25th and got a clear positive result. (This particular cycle was around 35 days) with the first day of my last period being August 20. Today by my calculations I am 6 weeks pregnant (symptoms: breast and nipple tenderness and more frequent urination and slight cravings). 
Here's my question...after my positive results I called my obgyn and they told me to come on in, so my husband And I went in this past Monday, the 28th. (Around 5 weeks 4 days to my calculations). He did an internal ultrasound but said it may very well be too early to see anything...and of course he couldn't with any certainty see anything. Has anyone else ever experienced this? Is it normal to not be able to see anything that early? Has me a little nervous, but then again I've never had an ultra sound that early...
Thanks for reading, just a worried mama here looking for support :-)