Pregnancy depend on ovulation, not menstruation. You can ovulate without menstruation although it is extremely rare. You should really get to a medical professional to have them take a look.

You can only get pregnant for the few days around ovulation. So if you are having sex to make a baby you would be fertile only for only 5 days out of the 4 or 5 months. How would you even know when those days are close? You may miss them altogether!