Hi!
Pregnyl is Human Chorionic Gonadotrophin. There is no reason that this should be harmful, as it is a natural pregnancy hormone. HCG is used to support the pregnancy until the placenta(s) develop. I suspect that your doctor will stop the injections around week 12 of the pregnancy, at the same time the progesterone injections are stopped.
These hormones are helpful and natural--no reason for concern.
By the way-congratulations!
Good luck!
Dr B