Hi, and thanks for your medical question on eHealth forum!
As you have PCOS, there is a possibility that you have insulin resistance and hormone imbalance causing nipple tenderness, etc. The depot shot you took could also have caused further hormone imbalance and could be the cause of your symptoms.
The other possibility is that depot injections cause acidity and GERD. These cause early morning nausea. You can take an antacid gel after meals and a late night snack and see if it helps relieve the symptoms of nausea. Also it helps to get a liver function test done to assess whether the depot has affected your liver function or not. I would suggest you get a complete evaluation and treatment for PCOS before you go for the next depot injection.
Also the insulin resistance can cause latent diabetes that comes up with a glucose challenge test and this could also be the cause of increased urination. The cysts f PCOS could also be causing bladder irritation and increased frequency. It is unlikely that you are pregnant, however do take a pregnancy test for confirmation.
Since a confirmed diagnosis cannot be given on net please discuss these possibilities with your gynecologist once. Hope this helps. Take care!