It's probably too tight. Here's a question...while wearing the wig, if you lift the cap just a bit (like slide your finger between your skin and the cap, do you feel immediate relief and like the blood is returning to that area (as if someone had a tight grip on you and finally let go)?
If the answer is yes, the headache is due to your wig being too tight. I had this happen with a nylon wig cap I was wearing under a flw one time - I had a headache and along my nape the skin was actually sore from being under too much pressure. I ended up snipping about one inch deep into the back edge of the wig cap. It made ALL the difference. So, if possible (without damaging the wefts/hair/whatever) try snipping a one inch cut into the base - somewhere where it won't show. That should solve the problem if the issue is that the cap is too tight.
Otherwise, it could be the smell of the hair. Sometimes the smell of new hair (especially when I wore weaves and BSS hair) can give me a headache. If it's a human hair wig, try washing it and seeing if that helps too.
Edited by modelbusiness82 - Jan 30 2011 at 2:33pm