It is possible that your headache after exercise is related to your asthma. Sometimes people develop a headache because they are not breathing properly. This is what happens when people who are not used to it make a vigorous effort in the pool by cutting off their breathing too abruptly or for too long. In your case, your asthma (and scarring from your embolisms, to a lesser extent) may make it difficult for you to properly oxygenate your body (and your head). One way to test whether this effect could be the cause of your situation is to take Ventolin about 30 minutes before exercise and exaggerate your breathing somewhat. I would also recommend that you ask a doctor about this so that together you can get more information about it.