"我有頭痛" sounds very Taiwanese. This usage of 有 is an artifact of Taiwanese / Minnan dialect. The Standard Mandarin （普通话） way to phrase that sentence is just "我头疼" or "我头很疼". Also like you said, 疼 sounds a little more mainland and 痛 sounds a little more Taiwanese. A general word for "pain" is 疼痛, they are really synonymous.