Yes, it does sometimes happen but it is not "technically" your period. Your period happens after you ovulate. You are most likely not ovulating. But some women do bleed every month around the same time that they would normally have their periods. From what I know, this is not harmful to the baby at all.
My mother had her period for the first 3 months of one pregnancy, and I've heard of other people as well. What does your Dr. say?