First progesterone

So I recently found out I am pregnant, but the doctors have no idea how far along I am yet. My first HCG blood test came back a 43 and quickly doubled to an 87. I need to continue going back weekly to check on it. The doctor said everything looks good and I am probably very early in pregnancy. However my progesterone levels came back very low and I was prescribed First Progesterone supplementary. I’ve been taking it for three days now. I have had awful nausea and headaches. Does anyone else have these symptoms with it, or could this just be pregnancy symptoms as well?