Yes, of course, it can lead to headache, if you do it in a long time. Squinting can make your eyes' muscle become stressed. And when this situation continues in a long period, it can also lead to eye stress. As we know that when you get eye strain, and still persist for the situation, it can put stress on the eye muscles and the facial and scalp muscles, causing pain and headache. So finally, you will feel headache. So maybe you should stop squinting, and also can do exercises to strengthen your eye muscles. Besides, when you keep squinting and have eye strain on your eyes, it is easy to weaken your eyes. At that time, some eye diseases such as the bags under the eyes, or dry eyes will occur. That can also be annoying. So you should be careful about it.