Headphone advice needed

Are there any headphones that don’t give that “inside the head” sound or are such things very expensive?

Yes.

Try an open planar (Audeze, HiFiman are two & the only ones I can comment on as I own examples of both)

Don’t know re expense as its all relative. I have bought most of my headphones used…

Tyll Hertsens of Headroom fame had a process (can’t remember the name) that gave a headphone sound that was ‘out of your head’. It was pretty good as I recall: it was a few years ago.

It’s worth out ting the effort in and doing some demos.

Getting the right balance between sound and comfort is king.

Gary