The answer is probably yes. There is a recent article in a medical journal* summarizing several studies addressing this question (a meta-analysis). This has been a source of arguments as to whether progesterone helps prevent miscarriage early on in pregnancy and many studies have said that it does. Unless you are on an unusually high dose it would be fine to continue. The only adverse effect of progesterone that I know of is extremely rare and that is an effect on limb growth. The best thing would be to ask your obstetrician what he or she recommends.
*Fertility and Sterility Volume107, Issue 2, Pages 430-438