There is a theoretical possibility of getting pregnant during menstruation. Some woman's cycles are so irregular that it is difficult to know when they ovulate, or it is so short that they ovulate close to menstruation. These are really anomalies. Some women will also confuse other bleeding with their periods and young girls are especially not sure about their periods. once again these are the exceptions.

During menstruation, the cervix is open and not blocked by infertile mucus. Menstrual fluid is however flowing out and the nurturing mucus is not present. Sperm will survive for up to 3 days in a woman's body and the egg will survive for up to a day after ovulation. So the theory is that if you have sex on the last day of your period and you ovulate a day or so later, the possibility is also there.

The only statistics I ever saw on this was a survey of around 300 pregnant women. Not one indicated that they think they conceived from sex during menstruation.