Is it true what I a heard that a woman shouldn't go to the cemetery when she has her monthly cycle (nidda period)? And if so, why?

The issue of tum'a (=impurity) is connected with a "lack of life" for the woman theoretically could have conceived that month- but didn't, as is the graveyard, also a significant "lack of life". According to kabbalistic sources, it's not recommended to have a combination of these two issues together. On the other hand, if there's a reason why you need to go on a particular day (say, the day of a yahrtzeit and the family is going, or on Yom HaZikaron and your class is going to the Memorial Service for Fallen Israeli soldiers at a national cemetery), and it comes out during your monthly cycle, then you can attend, so as to avoid embarrassment and publicizing intimate or personal issues.