I'm about four weeks pregnant with lower right abdomen pain when i cough. is this normal?

No not normal: Call your obgyn as you may have an ovarian cyst and you want to make sure u do not have a pregnancy in the tube or go to the er, they should be able to see a sac in the uterus once the bhcg is 2500 or depending on the us machine sometimes earlier, a normall gestational sac in the uterus will r/o ectopic and they they should be able to see a ht beat at 6 1/2 weeks gestation to confirm a viable pre.