Migraines are caused by constriction of the small blood vessels. When they open back up, the blood rushes to the head. So when you relax after a bout of anxiety, that's often when you get a migraine if you're prone to them. Happened to me. Doctor many years ago recommended meditation, which evened out my vascular flow pretty well, though it didn't do much for my anxiety, and got rid of my migraines.
well usually, its like that for me. So I wouldnt be worried if I were you. If you have headaches everyday you should go to a doctor, but even in that case I think its fine since I always have headaches, when im feeling some sort of anxeity sometimes days sometimes a few hours.