Welcome to Healing Well. I also find that my headaches are affected by weather. If the pressure goes up, or clouds come in close I experience a pressure and then get a migraine.
My doctor recommended a drug combination for those migraines that just won't go. I take 2 T3s, 1 or 2 Toradol (or Aleve will also work), 1 or 2 Gravol, and an Ativan. This combination seems to break the chain. The Ativan and Gravol help me relax and stops the nausea, allowing my stomach to digest the other medications.
I feel for you. I live in BC, Canada on the coast where it rains a lot. I suffer incredibly when it rains for weeks.
Best of luck.