Help!

Iv been on the depo for a few months but didnt go for my injection which was due on the 10th, because i wanted to change to the pill. I have ALWAYS had a period days before the injection ran out, but this time i had no period and still havent come on, and its now nearly a month later. I didnt take extra precautions when it had ran out, could i be pregnant? i havent started any new contraceptive because the nurse said if im pregnant it will harm the baby.