Exactly the same thing happened to me. There was absolutely no explanation for the sudden onset of pain. I tried numerous things to help - chiropractor, acupuncture, manipulation, exercises etc. At the same time I was seeing a naturopath as well, and she mentioned calcification, and the penny suddenly dropped.
For years I've experienced calcification, on and off, in my shoulders, so it was highly possible that this was causing my coccyx pain as well. What I did was stopped taking calcium supplements and instead concentrated on getting my calcium from natural sources, and the pain got a lot better. It took a while before I noticed any difference, and it was fairly gradual. I know the calcium isn't in my imagination because if I do start to take supplements again the pain gets worse.
The pain has never gone away totally, but it has greatly improved and it's now at a level that I can easily live with.
If you haven't already seen the coccyx.org site, you might be interested in this....
http://www.coccyx.org/medabs/richette.htm