I had to stop all medications once I found out I was pregnant including my migraine medicine. Tylenol is the only med you can have. Drink plenty of water and you can have up to 10oz of coffee. Also make sure your blood pressure isn't up. Try to relax keep your feet elevated. Peppermint oil is also a good natural topical solution that you can massage on your temples for relief.
Are you drinking plenty of water? During pregnancy you need more. Also maybe get your iron levels tested. This is all I can suggest.