Go ahead.
Menstruations should not stop you from anything really.
However, make sure you are well hydrated.
I am assuming you are going to be wearing a tampon or a menstrual cup? I imagine this would be no different from you entering a pool while menstruating except I have seen some warnings against pregnant women and menstruating women entering a wet sauna. Heat can help ease menstrual cramps, but it can also increase your heart rate which increases your menstrual flow. Hope this helps. Let us know anything else you find out.