Either way, coolant off-gassing would be hard to smell, unless you had the nose of a k-9. Small amounts of coolant off-gassing could not be detected by your sense of smell, while causing a headache.
The problem seems to be related within the air stream, and if it is not coolant, refrigerant or any other off-gassing, the only other thing I could think of is ionization. Positive ionization causes headaches, and they are termed "ill winds", and in some parts of the desert in the Middle East, the suicide rate is incredible when positive ionization is found in abundance. If you have an electrical component that is somehow spraying positive ionization into the air stream, this could possibly cause the headaches. I know it may be difficult to determine, but if you take a look around in the dark with the engine running, you may find some sparks or signs of a switch or other electrical component showing signs of failure.
Negative ionization removes the headache, and actually stimulates the central nervous system, and is used in hospital to treat burn patients, since it promotes skin healing at an advanced rate.
This is just something to consider, so if you don't locate any leaks, it may be positive ionization in the air stream. Have you confirmed or denied the coolant issue with disconnecting the heater hose connection from the engine yet? It is worth a shot.
Hope you discover the issue, and when you do, please let all of us know. I know what I make mention of here is a long shot, but since you're still fishing for the cause, I thought to let you know of what I had in mind, since I have studied ionization extensively over the past 13 years. It is a mind opening experience to discover what your indoor environment can hold for you. Even mold, in the early stages is not detected by your sence of smell, and can cause severe headaches and black lung disease.
Hey, I just thought of a way to confirm or deny if it's air-stream related. If you have access to an expensice resperator that would protect from carbon monoxide and other gasses, try wearing it while driving, although I would do this test at night when no one could see what you are doing
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Also, have you conducted a search in your interior? Like removing the back seat, looking under the front seats, glove box and elsewhere? Even spilled liquids that have dried (such as dry-cleaning fluids) can still out-gass and cause headaches. I am very sensitive to those cleaning agents. Even some bar soaps cause me a minor skin irration.....(Ivory has been the best for me
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Hope this helps.