I am a mama with extra weight to spare, so that factor my color my opinion, but personally, no weight gain in the first and even a bit into the second tri doesn't seem like a big deal at all to me. Think about it--your baby right now it prolly 2-3 oz at most right now, and you prolly don't have more than a couple cups of amniotic fluid (that's just a guess, I'm sure someone knows for sure) at this point. So, why would you need to gain much weight right at first?
The important thing, IMO, is knowing that you are eating a good, well-balanced and wholesome diet, rich in protein to build that baby! And if ms is/has been keeping you from eating well, then making the most of every calorie you are able to keep in. And totally, the fact that you are eating more conscientiously (cutting alcohol, cutting overprocessed, over-refined stuff, etc,) is almost sure to make you gain less--or even drop a bit--right at first!
With every pregnancy, I have lost approx 10 lbs in the first tri, then slowly gained back between 20 and 25 lbs, most of it in the last couple months. So, a total weight gain of 10-15 lbs. This feels perfect for me, health-wise, and my smallest baby was my first--8lb, 7 oz. The other two have been over 9lbs!
All that to say, if you are feeling otherwise healthy, and you know you are eating well (as well as possible!), and the baby is growing well (fundal height and all that), then I don't think you have a THING to worry about....except how to tell your mw to bug off if she's pestering you! Which, chances are, she won't pester you about it at all, yk?