Period trouble

So I know a lot of people will say, you can't have your period when you're pregnant, but it happened to my sister as well as my mother and my grandmother all found out they were pregnant about 3-4 months into their pregnancy and never batted an eye until then because they thought they had their period. I just want to know if this has happened to anyone else. I'm worried the same will happen to me and I won't know. I don't do anything extreme that would harm the baby in the first trimester, but it's still the small things that worry me, like vitamins, dying my hair, eating certain foods. Any insight?