All perfect praise be to Allah, The Lord of the Worlds. I testify that there is none worthy of worship except Allah, and that Muhammad is His slave and Messenger.
A menstruating woman is not obliged to perform Ghusl (ritual bath because of major impurity) if she did not have a wet dream. This is because, in principle, she is not Junub (in a state of sexual defilement). The principle cannot be overruled just because one has doubts and whispers.
This is unlike someone who wakes up from sleep and finds semen, he must perform Ghusl because the emission of sperm necessitates Ghusl.
Moreover, if a menstruating woman becomes Junub because of a wet dream, she is not obliged to perform Ghusl until she becomes pure from menses, then she only performs one Ghusl for Janaabah and for menses, and this is sufficient for her.
Ash-Shaafi'i said in his book Al-Umm:
"If a woman becomes Junub and then she has menses before performing Ghusl from Janaabah, then she does not have to performs Ghusl from Janaabah while she is in menses, because she performs Ghusl in order to become pure. However, she will not become pure by performing Ghusl for Janaabah while she is in menses. Once she becomes pure from menses, it would be sufficient for her to perform one Ghusl. The same thing applies if she has a wet dream while she is in menses; it is sufficient for her to perform one Ghusl for that altogether. She is not required to perform Ghusl even if she has many wet dreams (on different days) until she becomes pure from menses, and then she performs only one Ghusl." [End of quote]
We perceive that this question stems from whispers, so we recommend you to be careful.
For more benefit, please refer to Fatwa 89761.
Allah knows best.