This is normal phenomenon. Some women experience an increase in libido during menstruation. This may be due to increased blood flow to the pelvic area, leading to increased sensitivity, which can cause women to feel aroused. Another factor may be hormonal changes in the body. This all can lead to erotic dreams, thoughts about sex and erotic fantasies.
Another thing, during sleep our bodies are relaxing and the blood flow to the genitals is increased at this time, so this may made a woman feel sensitive. However, this alone is not the only reason for the occurrence of erotic dreams, as it may be influenced by other factors, such as: the release of sexual tension or high sex drive, stress relief, hormonal shifts, etc. There are various factors that can influence erotic dreams during menstruation.
However, there is no clear answer to this, as the above does not necessarily apply to all women.