Hi, I Have Had The Mirena Coil For 3.5 Years

Hi, i have had the mirena coil for 3.5 years and recently after having colposcopy treatment the doctor was unable to find the threads, i have been told to start taking the pill (cerazette) before i go to my appointment in 2 weeks to try and have the coil removed but am now suffering with terrible headaches everyday... Is this because of the mirena and the cerazette combined?