As an anesthetist, natural medicinal inventor, and prior yoga instructor, women are encoraged to exercise during menstruation, especially yoga. As the uterus is shedding each month the cramps associated with it is to help the body void the inner lining. During yoga, especially with position holds, it allows the uterine muscles to more forcefully contract allowing for a better relaxation when finished. This is the reason for the 2 hour post workout relief from cramps.
Women during menstruation need to drink more water and are prone to anemia, low blood count, which can cause dizziness, nausea, and potentially vomiting. Discuss any exercise related issues with your GYN, use acupressure at P6 to avoid nausea, peppermint oil for increased oxygenation, or purchase the medically endorsed No Mo Nausea Band which combines the two priciples stated above.