Hi! I made an account to make this post, I hope it'll be some help to anyone who is pregnant and suffering from migraines. (I've had them since I was 10 years old and am currently pregnant as well.)
First of all, if you are used to having caffeine daily, DO NOT STOP HAVING IT DAILY. Your migraines WILL get worse. Try to limit the amount you have, but if you try to cut it out completely you'll have a bad time. Just keep it under what your OB recommends for daily intake.
Laying in a dark room with a cool towel on your head and drinking tea might bring you some relief, or at least help you to sleep the migraine away. This is what I usually do since OTC pain medication doesn't work on me, and there are no migraine meds that are safe for pregnancy.
The next thing I will suggest might be a little controversial: marijuana (of course, only if you can obtain it legally. don't break the law). I discussed it with my OB and she told me that the studies done in the U.S., where I live, indicate a low risk (she said less than 1%) of still birth, however none of them did any actual drug testing and were self-reporting studies. My personal research into studies done in other countries, and speaking with moms that I know personally who took marijuana while pregnant, indicate that there is little to no risk in taking marijuana while pregnant. However it is important to note that SMOKING marijuana is potentially dangerous, since that might deprive your baby of oxygen. There are edibles and tincture available, as well as many other kinds of marijuana that you don't have to smoke that might bring you relief. As I said before, only consider this if it is LEGALLY an option for you.
(ALSO, PLEASE DON'T JUST TAKE MY WORD FOR IT! Do your own research and if this is something you are not comfortable doing, don't do it!)
I've also heard that for migraine sufferers who get them more than 15 out of 30 days a month might be able to find relief with Botox treatments, but I don't personally know any information about this so if you are interested, look it up!
Drinking some tea and relaxing, pushing all thoughts out of your head and meditating, may help as well.
Sadly I am out of suggestions but I hope at least one thing here will bring you some relief... it's absolute hell to suffer thru migraines and pregnancy at the same time.