There are plenty of magnesium supplements that don't include calcium, and taking a small dose is not dangerous. Otherwise you wouldn't have the shelves of Boots heaving with them!
As to the ferritin, different GPs need to know that there is a vast difference between being fully anaemic, and having a level that gives you quality of life.
God this makes me angry.
Anyway. If you would like to try some magnesium, I would always go with a powder version. I've always found tablets too much, so with powder you can start with a really small amount, and see how you go. There's a reason it's used in large doses for a laxative!
I just had a look at the UK Amazon site, and there's loads of brands I recognise, so just choose one that's cheap, with some decent reviews.
Magnesium citrate is fine magnesium glycinate and magnesium maleate are supposed to be gentler on your gut, but usually more expensive.
Just a quarter/ half dose in some squash before bed, should help you sleep better, relax your shoulders/ neck, thereby helping your headache, and it also helps your "nerves".
But it's up to you.
Meanwhile, I don't know what to say about your GP.
Maybe try an app or yt channel for mindfulness, and breathing exercises. If you're over breathing, you'll get pins and needles, and if it has any impact, you may be able to see a link with anxiety.
Just chip away at different ideas. If the GP won't investigate further, you need to do something yourself to tick things off the list.