Yep, my OB said it's the high levels of progesterone that cause the headaches to worsen, particularly in the early stages of pregnancy.

Pre-pregnancy, I got frequent headaches (4-5 days/wk) and migraines about once a month .... and in my first trimester they just got worse and worse. I was literally taking panadeine/panadeine forte nearly daily for the first 12 weeks, which I HATED, but couldn't function without.

Having said that, it's probably worthwhile mentioning it to your OB anyway, just to exclude nasty things like high BP.