I'd give it the three months and then, if feeling no better, asked to be put onto a sequi regime where you don't have progesterone everyday.
Also, as I think has been mentioned before, if you ask for gel or patches this will cause less nausea. If you are already feeling nauseous then I don't believe a pill HRT would be the best route to be honest as this can cause nausea in itself as well as making any existing gastric conditions worse. The patch or gel HRT bypasses the liver and goes straight into the blood stream.
Taz x