A recent study showed that people who have episodic migraines and asthma are twice as likely to develop chronic migraines compared to people with episodic migraines who do not have asthma.
 
There are several ideas as to how these could be related.  One suggestion is a link between allergies and asthma. 85% of people with asthma have accompanying allergies. When someone has allergies and are exposed to allergens, their body produces allergy specific antibodies (histamines, prostaglandins, tryptase, etc). These antibodies are produced in specific cells called Mast cells. These mast cell are located close by certain nerves in the head which can be responsible for causing headaches and migraines. 
This study also suggested patients may have hyperactive parasympathetic nervous systems (the system responsible for slowing heart rate and relaxing certain muscles). If this system is overreacting, this may not only cause problems with asthma, but may also cause more frequent migraine attacks. 
 
Both migraines and asthma involve similar changes in the body. When someone is having an asthma attack  their airways narrow and restrict airflow because of inflammation in the lining of the airways. When someone is having a migraine, there is also inflammation along with narrowing and widening of blood vessels. These two similarities also suggest how asthma and migraines could be related. The study did find that the more severe the asthma symptoms, the higher the chance for that person to develop chronic migraines. 
 
Another possibility is that the asthma actually may not be directly contributing to the migraines. Rather, similar environmental or genetic factors could be causing both problems. An example of an environmental factor could be air pollution, smoke, and perfumes. All of these factors can trigger both asthma and migraines. 
 
The National Headache Foundation suggested that  physicians may consider prescribing preventive medications for migraine at an earlier stage in patients who suffer from asthma and occasional migraine in order to avoid chronic migraines. Another interesting finding in the study showed that migraine frequency is decreased by 52% in young patients who have both allergies and migraines and who are receiving allergy shots. 
 
If you have allergies or asthma and have not seen your doctor or an allergist, contact them to discuss possible treatment options to control or decrease the occurences of your migraines. 

References
http://onlinelibrary.wiley.com/doi/10.1111/head.12731/full
http://www.webmd.com/migraines-headaches/news/20151204/asthma-chronic-migraine-headaches

NHF-sponsored Study Says Migraines May Worsen for Patients with Asthma