She's always happy to go out for lunch (which we have about one every month), and often insists to pay.
1 she canceled on the first the very same day, with the excuse of headache
2 then we had one, which was fun, but nothing romantic came out
3 she canceled the third two days before.
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1Opinion
What you need to do is make your intentions known and ask what hers are too, because it sounds like you’re not on the same page at all. You are calling these outings dates and hoping for romance, while on her end she may think it’s just grabbing lunch with a friend.
nothing happened because she's a colleague!