These darn electrical problems
...............
Well lets start with the obvious and work back. Your getting
power because the turn signal light comes on and the headlights come on. No fuses blown either......Power ruled out.
Next, the circuit has
ground because the turn signal works when you turn the headlights on. No ground ruled out.
Then, the next thing I would check are the relays. They seem to work fine when the headlights are activated, but then the turn signal malfunctions when the lights are turned off. Suspect a faulty relay. Check relay. YouTube has short videos on how to check them. Just because your getting power, does not mean the relay is working properly. Your owners manual should tell you which relay to pull and from which fuse block.
In addition, I would unplug the turn signal relay and then retest the headlights and see if they come on like before.
Good luck