Quick answers at PeterWhieldon.co.uk
Is it Sulfites… No! Is it the alcohol… Maybe? Sulfites can cause a severe allergic reaction in a very small number of people, even death in extreme cases (which is why there’s a warning on the bottle) but sulfites don’t cause headaches.
Poorly made or cheap wines tend to have more adulteration such as residual sugar, sulfur, fining agents or higher alcohol to make them taste better.
Some people get headaches only from red wine and some get them from wines from a particular geographical region, perhaps French or German wines.
The alcohol consumed in beverages such as wine, spirits and beer is basically a chemical called ethanol. Ethanol may cause headaches in various ways but mainly it is because it is a direct vasodilator (affects the muscles in the walls of your arteries and veins preventing the muscles from tightening and the walls from narrowing) so in some individuals vasodilation may cause a headache.