I keep coughing and sometimes i'll cough so bad i throw up just a little bit. can this cause brain bleed? also gives me head aches. think it's just cold or allergies always tickle in my throat

Cough : You are extremely unlikely to cause a brain hemorrhage but I would take an antihistamine decongestant to try and reduce the coughing

Bad cough : as the type you described need to be treated, you most probably have an airways problem, so you will need a medicine to relax your airways, and a medicine to treat the inflammation. Better see your doctor who may refer you to an allergist/immunologist