Two birth control methods at the same time?

Patient: I have gotten my depo shot a week ago, but I was on the pills before I switched. I was already 3 days into my new pack when I had gotten my shot. my nurse told me to continue to take the rest of the pack until i reach the inactive pills. I am worried that taking the pills while on depo pervera is too much. Is it safe? and should I continue my pack of pills?