Can Steroids Be Taken For Headache While Having Cough?

Every time I get a cough, after a few days, it begins to hurt on the right side of my head each time I cough. I have tried NSAIDs and nothing seems to help. I feel like I can hold my head when I get ready to cough and it helps somewhat. I had am MRI about 20 years ago for this same sx and everything was normal. I am so afraid I may have an aneurysm. Please advise. Also, what would you recommend that I take? I was even wondering if I need steroids to knock it out? Thank you so much for your response.