Note that true allergy is very rare, so while it's a tempting thought if we're having hrt problems, we need to look very seriously at it (free signup required to read)
http://www.docguide.com/news/content.nsf/news/852571020057CCF6852573B1007803AD?OpenDocument&c=&count=10&id=48DDE4A73E09A...
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http://www.ncbi.nlm.nih.gov/entrez/query.fcgi?db=pubmed&cmd=Retrieve&dopt=AbstractPlus&list_uids=10928426&query_hl=3&ito...
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http://pt.wkhealth.com/pt/re/ajog/abstract.00000447-200209000-00007.htm;jsessionid=F7bHcVNy2rpfTFtLYMNh1xSQ1VkL1n2RGVM6W...
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1999 journal article in pdf format, deals with the mechanics specific to vaginal progesterone delivery (which may avoid some of the systemic effects)--note that the "crinone" they refer to is now called "prochieve"
Note that this is specifically about progestins, not the hormone progesterone--it's not known at this point whether this same effect may be caused by the hormone progesterone.
This is simply the best article on the entire topic EVER: complete, full of research analysis, of impeccable credibility. Read this one article first: it's a whole education in itself. Really.