I'm sorry you're having a hard time with the progesterone. It's common unfortunately. If you can stick it out a bit longer, it may well improve. But if it doesn't you still have options, so please don't worry that this is your only chance to try HRT.
I started HRT toward the end of last year, and I also had a similar experience in the beginning. I was really tearful, but this did pass after the end of the second month - I hope it will pass for you too!
I also get constipated on 200mg progesterone. This is unusual for me as I have IBS usually causing the opposite problem!
You might do better spreading the progesterone out a bit more, if your doctor will agree to prescribe 100mg capsules instead.