Any form of progestin only contraception such as the mini pill, implant or mirena IUS is safe and acceptable to use alongside hormone therapy.
The combined pill/patch/Nuvaring (ie with estrogen and a progestin) are not suitable in addition to hormone therapy, but can be used instead of menopause hormone therapy in low risk perimenopausal women.
The depo provera injection is usually advised against after 50 due to concerns about bone loss, however whilst it can affect bone density in younger women, in reality it probably makes a negligible difference after 50 because what ovarian function are you shutting down, and does that matter if hormone therapy is being used concurrently, so I wouldn't necessarily support a hard cut off for this.