Hi, if they injected the needle into the epidural space, it could be a dural puncture. Is your headache better when you lay down...and worse while sitting or standing upright? If so, then chances are that's what it may be, as this is a classic sign of a dural puncture.
It happens when the puncture in the spinal sac doesn't seal itself off after an injection. Therefore spinal fluid leaks out and lowers the spinal fluid pressure inside the brain, which then can cause a horrible headache. It's not that common of an occurence, though. Usually a blood patch would be done to treat it.
I personally have had lots of ESI's, nerve blocks, but luckily never suffered from a dural puncture.