a "headache" bag is usually a double end bag with a squared shape instead of a round shape. I don't know why it is called a headache bag. It probably sounds more forboding and sells a lot more that way. Double end bags come in several shapes and sizes.
It hits you in the head on the bounce back, right?
We even called the smaller double-ends bag a headache bag - headache to hit, headache if you don't dodge.