Prometrium is progesterone derived from peanut oil. My doctor prescribed it to me as well. I often wondered the same thing. Many, many women on these forums have taken prometrium in early pregnancy to increase progesterone levels. I read the warnings too and was concerned with the pregnancy warning but my doctor assured me that it can be taken if prescribed to sustain a pregnancy. It turns out that I didn't need it but my fears were the same as yours.
My dr told me to take it soon as I get pregnant.....it keep your progestrone up so that your cervix will stay closed and help to prevent miscarriage
I was concerned too about taking progesterone supplements, they have all these warnings on the bottle about brith defects and stuff. But apparently we take them at such a low dose there is no effect on the fetus and women have been taking it for years during pregnancy. I think it says it may cause cleft palate and abdominal defects so during my u/s I had them check specifically for that and everything seems good so far!!
I would much rather risk that then to lose another baby to m/c. I believe it saved this pregnancy!