My sinuses are fucked up from being sick, so I think that might actually be saving me from the migraines of the weather change. We didn't get -20s but we did get -9°F to -14°F for several days running. But you're at a higher elevation, meaning you likely got colder. I remember living in the mountains, even if it was El Paso.
The sun/no sun/sun again thing doesn't bother me too terribly much because I mostly stay indoors and avoid sunlight. Whenever possible (and thanks to Walmart, Hy-Vee, CVS, and it otherwise being winter and getting dark early, is actually pretty easy to do most of the time) I go out at night or around dusk to get things done if I have to leave the house.
I am a highly experienced cave dweller.
I'm sorry about your headaches.
I'm on the mend, but it's a journey of its own.
Much love! ♡