It's not that common to fall pregnant when you bleed but it has happened but you might mean ovulating? The egg is only available for 1 day but the sperm can live inside for 5 days so if you have sex 5 days before there is still a risk. A orgasm can also make you start ovulating again.
If you mean that you have never had your period before then yes, there is also a risk because you ovulate before you starts to bleed.
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