First timer depo shot could I be pregnant?

I think it is unlikely you are pregnant, instead you are probably having adverse effects from the medroxyprogesterone In the shot. You are likely quite sensitive to the dose given. Note that progesterone and its relatives like the injection you received impact appetite, uterine lining, emotions, etc. When a person actually is pregnant progesterone is responsable for many of the symptoms. I would still let your doctor know, at very least the depo may not be the best option for you. You might consider the mirena. It is an IUD that delivers hormone only into the uterus, not your entire body so the adverse effects are minimal, and it lasts for 5 years!

Its most likely side effects from the shot. Signs of pregnancy don't occur that rapidly. Early pregnancy doesn't cause abdominal pain.