I've had scans done (both MRI and CT) for a different issue, as well as one CT specifically to check if there was a physical cause for my migraines (this was before getting pregnant). It's actually supposed to be common practice to get a scan done if you have migraines when not pregnant, though it can be hard to get a doctor to actually refer for one unless you get them really frequently (only got mine done because I was in the ER once for the pain, and the doctor there decided to do one). Generally it's just done to rule out anything physical that could be contributing to the migraines, not because there's something specific they think is wrong. It's kind of the same thing as going to the doctor for a sore leg, and having them say "It's probably just a sore muscle because you've been jogging a lot, but lets send you for an x-ray to just rule out anything else".
Also, there's really nothing to either type of test, all you have to do is lie still! As long as there's no risk to the baby, might as well let them have their look!
