From my own experience: I have been taking 10mg Lisinopril/HCTZ for quite some time, a much higher dosage than yours - no headaches ever, so my vote is on Coreg.
Both lisinopril and Coreg are pretty strong drugs. You are taking very doses, but they certainly can be the cause of a lot of side effects. The good news is your body generally can adapt, and the drugs can remodel the heart... at least they did for me. I eventually was taking 10mg of lisinopril and 50 mg of Coreg.
Headaches are definitely associated with drugs like Isosorbide (Imdur), angina meds like Ranexa and of course Nitro pills, especially if combined with alcohol.
I agree that you should report the problem to your doctor.
If you google Coreg, you will see that a lot of patients report headaches when they take it.
Of course, lots of things can cause headaches, but the fact that you did not have headaches before you were put on Coreg--and now you DO--makes a pretty strong case that Coreg is in some way responsible.
Call your doctor and report this problem.