Nearly every morning between 4&5 am I get a throbbing headache, left side. Worse lying down. Drinking coffee helps. What is causing this?

Hard to know. If you drink a lot of coffee during the day, then rebound headache is a possibility. Rebound is also possible with other headache meds. Other than that, more information would be helpful and it is important to know that "red flag" headache symptoms that should prompt urgent evaluation include headaches that wake you from sleep or any sudden change to chronic headaches.