I think what you mean is that a HOT bath can cause a throbbing headache. The problem is that, in general, elevated body heat can cause headaches and submerging in hot water can obviously raise your body temperature.
You determine what kind of headache you have. If it's because of lack of sleep or pasma, maybe you have to get more rest first before taking a bath. If it's tolerable naman, I guess it's safe to take a bath.
I take baths too whenever I'm experiencing headache. For some reason, it releases tension, especially during summer days! I think there's nothing wrong with that.