Congratulations! I'm so happy that your son is doing well. As you know, there are a lot of potential problems for those born that early!
If you were my patient, I would advise you to go ahead and get the next depo shot, as it will probably stop or slow down the bleeding. Depo is SO effective and convenient especially when you have a little one and no time to think!
Your fatigue is very likely caused by the fact that you have just been through a tremendous physical and mental strain--preterm birth, NICU, new mother, etc. What you probably need most is SLEEP.
If you stop the depo, chances are that you might end up with another baby, and that is definitely NOT going to help your fatigue!