Those are all super common fears for folks who grow up with a lot of restrictive or shameful messages around sex. In fact, we even have a piece approaching pregnancy fear from that angle: https://www.scarleteen.com/article/poli ... y_and_fear.
With your therapist, if you feel weird saying it out loud, you can write it down and hand it to her to read. Or, if you want to bring it up verbally, it might help to be straightforward about it. So, you know you're not pregnant, you know you didn't have a risk, but you can't get rid of the anxiety. Too, remember that therapists are trained not to judge their clients; people tell them all sorts of things, and their job is to listen and be understanding. So whatever you say is unlikely to shock your therapist or make her think you're "crazy."