I totally understand how uncomfortable that feels, especially when you are already doing so much to support the pregnancy. When I was on progesterone support during my second pregnancy, I also had that cold and sometimes bloated feeling around my tummy area and it was so unsettling. What helped me a little was layering a soft cotton belly band or maternity wrap over my tummy to keep the warmth in, since it is gentler than a hot bag and my OB was fine with it. You might want to check with your OB if a belly band is okay for you too, since every situation is different and your doctor knows your case best. Hang in there, you are doing a great job taking care of yourself and your little one.