D.B.
Sounds like you are getting tons of walking exercise, and that's great. I think it's okay to eat 5 times a day instead of 3 - it's good for most everyone, and especially for pregnant women.
Switch up your snacks, and add more protein and healthy fats. DO DO DO eat breakfast. Have eggs or an omelet or a piece of vegetable frittata or quiche (reheats well). You can make little hand-held egg "muffins" (scrambled eggs baked in muffin tins, with any added desirables such as veggies, a little ham or bacon, cheese and so on, and eaten at home or put between pieces of bread or a whole grain croissant to eat on the train. Or reheat in the office microwave if you have one.). Avocado toast, or a few slices of avocado on the side with your eggs. 15-20 almonds to crunch (my neighbor swore by them for morning sickness too). Trail mix with oats, raisins, a little dark chocolate, and nuts like almonds or walnuts. They aren't too heavy to carry for your walk and commute.
For breakfast, consider oatmeal with frozen fruit - I do it in the microwave for 2 minutes, then add some frozen berries for 1 more minute. You can add cinnamon instead of sweetener, and flax seed too for fats and fiber. That holds me for hours. If you prep a little at home, you can avoid the high carb shop and save that money too.
I'm not sure why you feel you eat too much in the mornings - that's where you should have your calories (first thing and before your long walk), and I think avoiding it may be why you may be getting headaches, on top of the sleep loss.
Not sure what you do for lunch, but add protein and fats to that as well - grilled chicken and avocado on a salad for example. Beans and chicken in tortilla wrap work well too. Be very careful not to avoid fats out of fear of gaining weight - they are actually what sustain you for longer. Just choose healthy sources of fat (coconut oil, avocado, nuts, peanuts, lean chicken & fish).