Can Cortisone Shot Cause Headache?

Hi. I took a cortisone shot on my right side of my bottom about 2 weeks ago and my period is 7 days late very very very uncommon for me as in never ever happened. I'm also taking diet pills Uh not the ones that take my appetite away it's one pill a day before breakfast it's meant to dissolve my fat My boyfriend and I are sexual but I'm a virgin the furthest we have gone is him touching me down there with his hands but he always wipes his hands first I also took a pregnancy test 4 days ago and it was negative my boobs aren't sore I haven't thrown up just headaches and I've gained a little weight the last time we were sexual was on February 9...so is it possible I am pregnant or is it the shot?