Spinal steroid epidural yesterday. Worst migraine, nausea, dizziness yesterday. Awful nausea, dizziness today. Headache progressing. Should I call doc?

Yes. Yes, call immediately or go to ED. Try to lay flat as much as possible. .
Not immediately . Stay supine and drink fluids. If it doesn't improve in a day or two you may need to go back. It's possible that you have a spinal leak, minor issue, hole made by needle hasn't closed. May need blood patch. Minor procedure. They draw blood and inject near site of injection to stimulate healing of leak. .