Vasodilation could cause headache. Thus you could find that headache is commonly listed among the complications of several drugs, such as NTG, nicardipine, tyrasine and other vasodilators. On the contrary, ergonovine and some vasoconstrictors could release the patients of headache. Especially for those headaches involved in vasomotor mechanisms. It's just a hint for your reference. I didn't directly answre your question.
brain tissue in itself doesnt produce pain, it's the meninges or the blood vessels that usually dilate and cause iritation. But certain central pain mechanisms can be activated by icreased neurotransmission in pain-involved pathways. For example migraine, where the vasodilation can possibly be just one of the consequences. not the cause (file attached). So blood flow in itself is tightly regulated in brain between 50-150 mm Hg blood pressure (BP). If the blood pressure reamins in these values, autoregulation will sufficiently react and no significant changes could occur during the breathing exercises mentioned (unless the BP goes out of the interval). For more on cerebral blood flow, check the link
Dominik, any pressure related or pressure mediated headache may be increased through increased blood flow aka enlarged venous distension (as outlined with the Kelly Monroe doctrine). This effect is more pronounced if the autoregulation of the brain is impaired due to trauma, modified with vasodilator drugs (as Shao-Weih Hsieh pointed out) or the blood brain barrier is injured. Ventilation modifies vasoconstriction / vasodilatation by CO2 receptors, thus if you want to measure the effects of any intervention on cerebral blood flow, try to control for respiratory and positional effects.