Quoting applelove:" Actuly you can take Vicodin, Methadone and a whole long list of very strong pain medications... they are all safe but that does not mean that your Dr wants to give them to you for a headache."
Those are all class C medications. They have not been determined to be safe. Just because a doctor prescribes it, doesn't mean it's safe.
OP, do as the others have suggested and discuss the pros and cons with your doctor. Sometimes you have to weigh the benefits vs. the risks. Cortisone is a steroid, and is a class C medication (class D in 1st trimester), so it is not known whether it is safe or not.