My son had a terrible time with headaches too and we went through the same scenario as you - with MRI scans etc.  In the end we sought a second opinion from an endocrinologist who believed that headaches were due to his CAH treatment (rather than the condition itself).  He told me that too high a dose of hydrocortisone as well as cortisone deficiency caused headaches and by doubling up and giving injections when headaches were bad, we were doing the wrong thing!  He suggested giving the hydrocortisone more frequently (4 times a day), therefore lowering each dose and giving a more constant supply (so he was never deficient or had too much).   Within days his headaches were better and by doing this my son was also able to have a reduction in his total daily dose and actually lost weight too!