For 2 weeks I have had severe headaches (dr wrote off as tension) have bled twice during intercourse, one week before and one week after period. Now odd pain when finishing urinating. For lack of better description, feels like my clitoris is swelling and then stops.

You may have a bacterial infection. Bacterial infections can cause some irregular bleeding... because the infection shows up as discharge, it can affect the urethra causing it to enlarge and causing you to have frequent urination / pain while urinating. It can also cause your clitoris to swell. I would definitely go and see your GYNO as anti-biotics are the only way to get rid of it!