아이고 두야 = Oh, my head (hurts)! / Ah, this is a big headache. It usually has a figurative meaning indicating a difficult problem one faces. 아이고 is an interjection, like "Oh!", "My!", "Oh my!", etc. 두야 = 두(hanja for 머리, head) + 야 (meaningless suffix used after a name when calling someone). 두 usually constructs a formal word by combining with another character(두통=headache, 두발=hair, 두뇌=brain, etc) rather than as an independent word, but this phrase is an exception.