It is narrated from Sayyidah Aishah (may Allah be pleased with her) that a woman came to her and said: I am menstruating and I am also pregnant. Sayyidah Aishah (may Allah be pleased with her) said: Take a ritual bath (ghusl) and pray; a pregnant woman does not menstruate.
Hadith Referenceالسنن الكبرى للبيهقي / كتاب العدد / 15433