Actually, if there are clothes on, pregnancy is practically impossible because sperm cannot pass through fabric. But if you have doubts, consulting a doctor is always the best way to clear your mind.
Listen, don't worry too much. If you both had clothes on, sperm cannot travel through layers of cloth, so you are safe. Just be careful next time to avoid this stress.
I totally understand how anxious you must be feeling right now, sweetie. But take a deep breath, it is highly unlikely to cause pregnancy this way, so please don't lose sleep over it.
It is extremely unlikely to get pregnant from dry grinding. Just keep your stress low, go for your daily walks if you're active, and don't overthink this.