Jay there are many reasons you could have headaches. If your blood sugar is consistently high, if the medication is not pulling the blood sugar down, if you have ketones in your blood, or it could be unrelated to diabetes.
Headaches are pernicious and debilitating! If your blood sugar is under control and you are still having them, then you should see your doctor for the headache. If your blood sugar is not in control then you need to see about changing your medication regimen to try to get those numbers into the normal range!
Also you might want to have a check for anemia, this can often be associated with diabetes:
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