Happened to me twice!
Both of my daughters were conceived before my cycle returned after the baby before them. It's most definitely possible to get pregnant without a period, but it makes getting the timing right that much harder. It's also unlikely that you are ovulating if there aren't other factors going on that are preventing you from having a regular period ;)
In order to have a period, you first have to ovulate and since the egg isn't fertilized, you get your period... if you happen to get pregnant with that first ovulation, NO period!