Is it normal for the baby not to appear on an ultrasound in early pregnancy?

Yes. A transvaginal ultrasound can usually identify a gestational sac by 5 menstrual weeks of pregnancy (3 weeks after conception), and by 6 weeks should be able to identify a fetus. If one is clearly past that gestational age failure to see a pregnancy may indicate a problem. It is helpful to coordinate with an HCG blood level. Your doctor can explain further during the ultrasound.
How early? A very early ultrasound will not show the baby. 5-6 weeks after the first day of your last menstrual period is about the earliest time for the baby to be seen on ultrasound, and at that time it is just an embryo.