I'd like to recommend Dr. Fandos, in Bay Shore, New York (on Long Island) (see Doctors and specialists in the USA). He is board certified in pain management and anesthesia. Under the advice of a friend who greatly benefited from injections for his back, I saw him, not expecting him to be a specialist for the coccyx and thinking I'd have to go elsewhere. He was very knowledgeable though, saying he's had hundreds of coccyx pain patients in his 12 years of practicing.
He gave me a trigger point injection to hold me over until I could get caudal steroid epidural injections. He says you need to get three, 2 weeks apart each time for it to be very effective. I feel so much relief from the first one and am very optimistic that I'll be fine by the third. (I have hypermobility everywhere and damaged the ligament.)