Every woman has a corpus luteum cyst after she ovulates, if the egg is not fertilised it normally dissolves and causes a drop in hormones which causes a period (the lining of the womb shedding) unless it fails to dissolve therefore it becomes a functional cyst. It is only a functional cyst if the egg you produced has not been fertilised. You could be pregnant, but I would imagine they would have seen the beginnings of a pregnancy on the ultrasound?
Basically I'm saying yes you would have a cyst on your ovary for the first three months of the pregnancy (it releases the hormone progesterone and stops the lining of the womb from shedding until the placenta takes over)
but you can also have a corpus luteum remain and turn into a functional cyst without you being pregnant. It's great that your cycles are regular. Hopefully if you're not already pregnant you will catch that eggy soon x x