Progesterone side affects and anxiety

I’m 5 weeks and my doctor has me on progesterone to help the pregnancy progress, but after I use the pill (vaginally) at night, I breakout in such bad hot flashes and sweats. Last night was the worst it got and made me dizzy and my anxiety started to come up. I’m so worried I’m feeling this way and it’ll affect the baby. I have a little from having previous losses and the virus panic is getting to me too. I’m just feeling so overwhelmed and have no appetite after puking up every thing in the middle of the night. Please any advice. Have you used progesterone? Experience? Or recommend anything for anxiety.