Can palpitations be associated with severe headaches?

Yes and no. Although I do not believe there is a cause and effect relation between the two, certain types of patients have both. For instance, patients with mitral valve prolapse have an increased incidence of migraine headaches.
Palpitations. Palpitations and headaches are both common so finding them together would not be a surprise. Some causes of palpitations or headaches could cause each other.