After getting the flu shot it takes your body 2 weeks to be fully protected, so it is definitely possible to get the flu after getting the shot, even if the strain is covered in the shot.
I hope you are not getting it and maybe just have a little cold.
Rather you get the shot or not everyone, wash your hands as much as you can, that makes a big difference.
And as for the "I have never gotten the shot and never had the flu" camp, that applies to me as well before being pregnant. However, I decided to get it because our immune systems are suppressed, getting the flu pregnant can be really rough, and my understanding is that it will pass on some immunity to your baby.
Just my two cents.