Continue with steriod nose spray or not, if you got a nosebleed?

Not recommended. You should stop using it until the nosebleed under control.
No. Stop the spray. Nasal steroid sprays should not be used when your nose is bleeding. Wait a few days, let the bleeding stop then try again. When you put the spray in your nose angle the tip to the outside corner of your eye to direct it away from the septum.