I would definitely call your doctor or the nurse. I've been on the 17P shot for 6 weeks now and haven't had any of these types of experiences, and the in-home nurse told me side effects are very uncommon. Many brands of the shot come mixed in castor oil, I wonder if you're allergic to that?
When I'm not pregnant I get migraines when I ovulate and when I'm on my period. All through my second trimester I would get one at the end of the week and it would go away within an hour of getting the shot. I'm 32 weeks now I don't get the headaches anymore. I don't have any other side effects and I started the shots at 16 weeks.
I also get the injections since 16weeks I'm now 22. The only symptoms I've had is itching a day after I get the shot I itch at the injection site. I would definitely talk to the Dr.