Did they give you a blood HCG before they prescribed the medicine?
My experience, I was given medroxyprogesterone to induce my period as well, and I didn't start bleeding until about 2-3 days after finishing the 10 days. However, this is my third time taking it, and I actually started bleeding about 8 days into it this time. So it may differ!
It probably wouldn't hurt just to give your doctor a call though, and just tell them it hasn't worked and you feel nauseated.