Hi and welcome to the Migraines & Headaches Community.
If it is migraines your pillow could be contributing to it but, changing every night is not going to tell you. Give a pillow a week or so before you decide it is not helping. I, personally use a memory foam pillow and works great for me but, again it took several nights before I noticed.
Another thing to consider is it my be TMJ Syndrome, which is arthritis in your jaw. Your dentist could tell you if that is it and then you would need to sleep with a mouth guard at night to keep you from grinding your teeth.
You really need to find out if it is true migraines or TMJ or something else before we can give you any ideas to help. So, please keep us posted.
I was dx with Occipital neuralgia. solved.
Ouch. My aunt has neuralgia. Not fun. I do believe there are some pain meds that can help. Your doctor should be able to point you in the right direction.
(I also think there is a Community on this website for that. Take a look at the list of Communities.)
I had a steriod shot in my head, I have been reading up on this and it looks like it's going to be a chronic problem and not a fun ride.