Musnad Ahmad 1153:1475

He said: Yazid narrated to us, he said: Shu'bah informed us, from Abu Ishaq, from Abu Maysarah, who said: The Mother of the Believers said: "I would indeed wrap my lower garment, then enter with the Messenger of Allah, may Allah bless him and grant him peace, into his blanket while I was menstruating."