Did you feel pain in your eye, too?
Do you have high blood pressure?
Was the headache very intense?

I've been struggling with some bad headaches the last 4 weeks. At first it started out as dizzy spells where I would actually loose my balance, a nurse told me that it might be an iron deficiency. Since then the headaches have worsten and last night I has a very bad fever. This morning I woke up with a blood shot eye and it gets blurry at times. There is some pain, like irritation (itching) and a discharge (like sleep), but the headaches are overpowering so I don't even notice it sometimes. I still struggle with intense nausea as well. Can it be a type of eye infection?

There can be different causes for your condition.
Eye redness, blurred vision associated with fever, warrant medical attention as soon as possible, cause it could be more serious eye infection (eye drainage and feeling of irritation add to this possible diagnosis), that must be treated.
If your headache is predominantly located on one side of the head, along with fever, eye redness, decreased vision, nausea, could be temporal arteritis (inflammation of blood vessels without known etiology).
This must be checked out by your ophthalmologist, cause, in some cases it can lead to vision loss.
The redness of eye that is located on one spot of the white part of the eye can be sign of bleeding, caused by increased pressure when someone is coughing, sneezing, vomiting or vigorous rubbing the eye.
This bleeding develops during sleep and can be frightening to see in the morning.
Headache with bloodshot eye may indicated cluster headache, too.

Visit your physician or ophthalmologist!