I was taking Yaz for 2 months and I switched to Ocella immediately after I finished my last pack of Yaz, no days in between. The pack doesn't really give you directions for switching pills aside from to just start the new pack immediately after the old one, so I am not sure if I was supposed to use another form of protection during the first 7 days of Ocella even though I had already been on the pill. I had unprotected sex the 4th day of Ocella, is there are possibility of pregnancy?

Check the labels. If both have the same active ingredients in them in the same amounts then very unlikely there is a chance. If either of these things differ then the possibility is higher because your body will take time (safe bet a month) to adjust to the new signals the new hormones are giving it.