I would love to know what catastrophic fate that nurse thinks will befall you if you take progesterone continuously.
I have been on a combined pill continuously for 15 years so am interested to find out if I am about to grow a second head or begin speaking in tongues!
They are simply mindlessly following a flow chart (excuse the pun) which generally recommends sequential to those still menstruating and continuous to those postmenopausal.
This dogma is based on the belief that sequential progesterone results in a regular bleed pattern, and that continuous is more likely to result in a less regular bleed pattern.
As you have discovered this is often not the case - trying to time cyclical HRT in perimenopause is rather like trying to time the stock market.
Whilst using the progesterone continuously MAY also be associated with a less regular bleed pattern, this is not medically harmful in any way except if it results in inappropriate referral for investigation, which is avoidable in the hands of a skilled clinician who is capable of differentiating explained vs unexplained/concerning bleeding.
You can also try a hybrid regime where you have a break to bleed for 3-5 days per month as suggested by Sheila.
To further reassure you, continuous progesterone is typically recommended from the start in perimenopausal individuals with conditions aggravated by hormonal cyclicity such as migraine or endometriosis.