Dont worry you are not pregnant. The semen has to come in contact with your vagina internally. It actually isnt all that easy for women to get pregnant. There is only like 24 hours in a month that woman can get pregnant. During her ovulation time which usually is about 2 weeks after she starts her period. Considering you are on your period and you only had 'anal' sex, you are not pregnant. If he had put it in your vagina, then there would have been a risk, even if he had not ejaculated in you. If you are worried about things like this though, always make sure you use protection or just refrain from sex. :) hope that makes you feel better.