What you describe sounds to me like a very early stage miscarriage. It is not uncommon for a woman to not know she is pregnant, still have her period, and then think that her period is just heavier than normal, etc.
One thing you can do is take a pregnancy test. If you were far enough along that a baby sac had already developed your body could still be carrying some of the pregnancy hormone. See if the test comes out positive or negative. I would continue taking your pills. If you do take a pregnancy test and it comes out positive you do indeed need to see your doctor. Sometimes after a mscarriage your body needs help "cleaning out" and leftover debris. If not careful it could leave behind scar tissue, etc.
Either way, I still advise you to call your doctor and describe to him/her what happened. He/she will judge what is best for you to do.