You may try putting some WD40 on the joint but probably it will not have any effect because pipe threads normally have teflon tape or pipe dope that makes them waterproof and would prevent any solvent from soaking in.
Normally a shower head is not difficult to remove so we must explore the possibility of other problems.
There should be a chrome trim escutcheon ring on the shower arm pipe where it meets the wall. Slide that trim ring forward a bit, then try scratching the chrome plating on the pipe at a point where it cant be seen when the trim ring is in place.
If it is extremely hard to scratch or if you see a gold color under the chrome it is a chrome plated brass pipe. In that case it should be connected on both ends with common pipe threads.
If the plating scratches away and reveals a white or grey color underneath it is most likely a chrome plated PVC pipe. If it is PVC examine the threaded area where the shower head is attached. It is possible that someone mistakenly applied PVC glue to the threads before attaching the shower head. If that is the case you may not be able to take it apart and may have to change the shower arm pipe as well.
I am attaching a photo of the proper way to use two pair of pliers to steady the pipe while unscrewing the shower head. Note the rag to protect the pipe finish.