Paxil has a short half-life, meaning it doesn't stay in the body as long as some other SSRIs. So the migraines could be the effect of missing doses or too much variation in time, etc. I've read that serotonin is thought to be involved in migraines, so it makes sense that SSRIs could help or cause them. I had fewer migraines when I was on Zoloft and occasional ones on Paxil and now Cymbalta.
Definitely check with your doctor.