Continuous combined HRT is usually recommended for women with migraine.
If you suffer from migraine with aura, the cause is usually oestrogen surges - I once read that if you are taking more oestrogen than your body needs, that can cause aura migraines. Migraine without aura is mostly due to a drop in progesterone during the cycle and women often have this type of migraine before a period during their reproductive years. Either way, a continuous HRT regime is the better option.
It's worth googling Professor Anne MacGregor and reading some of her analysis on hormonal/menopause related migraines.
I hope that helps.