@nomoredonuts
Personally and this is only my opinion but I feel that while on steroids trying to modify blood sugars by exercise may be rather difficult if I were you with an outlook of coming off the steroids quite soon I would just try to ride it out as once you are no longer taking them in time things will settle down again hopefully quite quickly.
One of the functions of the liver is to take sugars from blood stream and store it those sugars can come from any metabolic pathway that produces sugars
"When you’re not eating – especially overnight or between meals, the body has to make its own sugar. The liver supplies sugar or glucose by turning glycogen into glucose in a process called glycogenolysis. The liver also can manufacture necessary sugar or glucose by harvesting amino acids, waste products and fat byproducts. This process is called gluconeogenesis."
https://dtc.ucsf.edu/types-of-diabe...e-body-processes-sugar/the-liver-blood-sugar/