Ouch, I feel your pain. I fell heavily when I was 34 weeks pg with dd and I was convinced I'd broken it but as I was so far gone along my pregnancy I didn't actually do anything about it. I saw the mw about dd and she was fine so I left it at that, but I was in agony too. It even led to my final decision to have a cs as at 40+10 and after three sweeps I still wasn't showing any signs of labour and when they offered me an induction I fell apart and wept all over them saying I couldnt' stand lying on my back any more, so they very kindly offered me a cs.
Nearly 3 years on I'm still in lots of pain when sitting. It's absolutely fine when I'm standing, but sitting down for more than ten minutes is really painful. Not great when you do a mainly sedentary job! I've finally decided to get something done about it and I had an MRI a couple of weeks ago which showed the bone hadn't been broken in the fall, but I had damaged the nerves between the coccyx and the joint above. In a couple of weeks i'm having some steroid injections in to the joint to try and fix it. My mum has had those injections before for a similar problem and has said they worked really well for her. The whole proceedure is under sedation and is guided by xray so probably not suitable while you are pregnant, but it might be worth asking about once the baby's born if you're still in pain.
. Physio can help - both in terms of re-positioning an out of position coccyx and for strengthening exercises - pelvic floor and deep abdominals. Ultrasound can help with pain relief and to reduce the swelling as can acupuncture.
Might be an idea to get a referral to an orthopaedic surgeon. Even though you are pregnant and there's a lot of diagnostic stuff that can't be done, if he/she does believe you have knackered your coccyx, he/she might have a view about whether VB is or is not a sensible idea.
Headfairy - have had the steroid injections twice now (sometimes it takes 2 or 3 goes to get maximum benefit). It's fine. And yes, it helped me. Sedation is luffly .