What could have happened if you didn't menstruate during fertility treatments?

Ovary or uterus. Common reasons for no menstruation are lack of ovulation and the estrogen and Progesterone that come with ovulation, and scarring or injury to the endometrial lining.
Depends of Reason. If you normally do not ovulate, it could be that the medicine was not strong enough or that you just need a slightly different medicine to help you out. Also even medicines that work do not work every single time they are used, usually about 80% of the time. Or it is possible you have an underlying hormonal reason why the medicine did not work.