You are also more likely to get dehydrated at high altitudes, in hot climates, or if you're vomiting from morning sickness. Make sure to drink lots of fluids. It's especially important to stay hydrated while you're pregnant, since water helps carry nutrients through the blood to your baby.
If you experience ongoing headaches, irritability, or worsening nausea, seek lower ground or take refuge in an air-conditioned place. If that doesn't do the trick, you might want to head back to a cooler climate. As always, consult your healthcare provider before planning a big trip.