Sayyidah Maymunah (may Allah be pleased with her) said: "The Messenger of Allah (peace and blessings be upon him) would pray while part of a woollen sheet was on him (peace and blessings be upon him) and its other part was on one of his wives, while she was menstruating."
Al-Humaydi said in his narration: "Part of it would be on me and part on him (peace and blessings be upon him), while I was menstruating."
Hadith Referenceالمعجم الكبير للطبراني / مسند النساء / 20380