Training whilst having menstruation can be bad.
There is no general rule if you should train in that time, but it is important to listen to how your body reacts to training. Should training cause you more lower body pain than usual, consider pausing your training on the first 1-3 days of your period.
Also, pay attention to the product you are using for your menstruational bleedings. Many women have a problem with certain movements such as SQUATS, bending and crunches when using those.
A sanitary towel / bandage might be preferred depending on the exercises you wish to do.