The burning and cold sensations are very much a part of her depression.
Depression is a state of mind where the sufferer needs to ventilate his / her feelings. It is a common knowledge that in people suffering from depression, a "somatization" phenomenon is observed. It is different from the somatization disorder. The somatization I am referring to is the transformation of the inner feelings and emotions into bodily (somatic) aches and pains.
This happens due to cultural differences. The western and the European cultures are more open. In the eastern countries like India, females generally are not known to speak out their views. A lot of pent up emotions come out this way.
Now you know the reason behind your mother's head symptoms. To her, they are real and need treatment. She will need a good antidepressant which is known to act on somatic symptoms. But more importantly, she needs a counseling therapy or a brief psychotherapy.
About the side effects, I can not specifically say any side effects since I do not know which medicines she is taking.