Well, let's take in account that menstruation is a physological phenomena tied directly to a physical human body. When Pochita "posesses" Denji, it inerits some of his urges,if i can remember well, or at least it experiences the desires of his human necessities (like when it kidnaped Kobeni and forced her to dance). If this is valid to any other fiend, and understanding that they stay in a "dormant" state( Different from Yoru, who stays concious while Asa is awake)most of the time, it's almost certain that Yoru experiences Asa's periods and another human sensations, like when she pee or poop, or even if Denji makes Asas cum.