I've taken progesterone often and in pretty big amounts when doing IVF. It has never made me nauseous, just crampy in the uterus.
I usually get tired from it and a little sore but I never been nauseated from it. But everyone is different I guess?
It Could be both, it's a side effect of the progesterone and a symptom of pregnancy. Also I'm pretty sure they give you progesterone to help you not have a miscarriage.