Two days after my first allergy shot i got a bad headache that didnt respond to medicine. can allergy shots cause allergy symptoms that long after the shot or was my headache probably unrelated?

Two possibilities, shot triggered headache, or purely coincidental. If occurs again, it might bring up concern of chronic headache problems such as migraine.

I agree with coincidence here if your typical allergy symptoms weren't present unless headache occurs again. In the allergy clinic we reduced the strength of the next injection if the patient reported worsening of allergy symptoms after the last injection and stayed at that dose for another 2 injections before advancing to the next strength.