I would guess yes it is from the withdrawal. When I gave it up I had severe pain in my sinus area and the ent doctor could not find anything there. It went after 3 weeks. That was the final reduction from 50 mg.
But seeing that you are pregnant, you should have your blood pressure checked because of the headaches. If you pop into a Doctors surgery or outpatients, they will do it for you or sometimes the pharmacist will do it if you ask them + tell them about the headaches. Do this today I think.
I dont mean to frighten you but It is pretty urgent to get that checked if having headaches in pregnancy.
best wishes to you and good luck
I agree with therese83. When I weaned off Effexor, I had brain zaps that were like lightening going off in my brain. I hope you don't get those, but at least you're forwarned so you won't wonder if you have MS or something (like I did!).