Have you ruled out other causes for your headaches, such as stress, medical issues, dietary concerns or any other issues? The only vaping related cuses for headaches I can think of off the top of my head are things like using an inappropriately strong nicotine mix, hitting your vape too hard or too frequently or a reaction to some other ingredient in the vape. Some people have particular sensitivities to juice ingredients that are not common to all users. Sudden onset headaches are sometimes caused by blood pressure spikes, interference in blood supply to the brain, sometimes caused by restriction of blood vessels due to inflammation or blockage of blood supply. Another possible culprit is decreased oxygen supply to the brain. There's whole textbooks full of causes for this problem but some primary ones relevant to vapers are dehydration and drug interactions where certain drugs you take (prescription, over the counter or even nutritional drugs such as caffeine and glucose). Dehydration is a fairly common vaping problem but there are a lot of potential issues that are not at all common and could be due to your particular physiology. I would suggest that if you're only experiencing the problem while using certain coils then perhaps those coils are causing an absorption rate that interferes with either your blood pressure or your cardiovascular systems ability to deliver adequate oxygen levels to your brain. If this is the case then you would do well to try different voltage levels and closely monitor the resistance and build of your coils to find the optimal vaping setup.
There's also the possibility that the headaches are a manifestation of anxiety related to stress over the complexity of your vaping hobby. This is pure speculation and should be considered with a grain of salt.
Finally, it might be a good idea to check with your doctor and explain that you're experiencing inexplicable headaches. There's always the possibility that your headaches only coincidentally coincide with your vaping activity. Especially if the headaches increase in frequency or severity and most especially if they seem to occur at times when vaping is not at play.
Good luck to you. I really hope this is just a minor stress issue that works itself out in time.