what do you mean that you dont feel pregnant? Do you mean you havnt had sickness or that you dont feel like you are carrying another life?
Have you had a 12 week scan? That will have shown you that you are pregnant and many women dont believe it til they see it.
I never felt pregnant by way of sickness or anything. It wasnt until i felt the baby move that i really felt as if it was real. That doesnt happy until 16-20 weeks really and at first it is so slight that its hard to know thats what it is.
Believe me, once you get into the middle of your pregnancy you will feel more and more pregnant each day as your body changes and baby moves more.
As long as your midwife is happy with your progress then try not to worry.