The question of “which day is cycle day 1” (the first day of spotting or the first full day of bleeding) comes up frequently. Either may actually be correct. In general, we typically call cycle day 1 the first full day of bleeding. However, anytime that you are unsure, you should check with your physician (as you did). Also, if you have a history of diminished ovarian reserve, high FSH levels, or short cycles in general, it may be better to come in earlier rather than later.
In terms of absorbing (or not absorbing) the Gonal F: this may be improved with an increased dose of medication. However, it may be an indication that your body is not responding to the medication in general, which sometimes occurs with advancing age and diminishing ovarian reserve (in terms of fertility success). I am wondering if you also took Gonal F during your first 2 cycles, and how you responded. You can try injecting into a different area. I would also recommend reviewing your injection technique with the staff at your physician’s office, to ensure correct technique.
I think it is reasonable to proceed with IVF if the IUI doesn’t work, but it is always difficult to accurately make this recommendation without reviewing your complete history and seeing your response to the medications in the past.
The percentages for success that your doctor has provided seem right on target for your age.
As you mentioned, this process can be an “emotional rollercoaster”. Try to remain optimistic, and don’t forget to take care of your emotional health during this difficult process as well. You may want to consider therapy, yoga, acupuncture, and / or support groups.