Hi @CakesAreGreat,
I suffer from chronic coccyx pain like you. Depending on how hard the seat is, how long I sit for, what position I sit in, the pain will be "better" or worse.
I spent more than a year without driving and now use a coccyx cushion at home and in the car. Coccyx Sero pressure.
I saw a women's health physio for a long time. I strengthened my pelvic floor. I should have carried on with pilates to carry on rebuilding my core but needed a break (to have a life). Now I'm back with physio but both women's health and orthopedic. I have pilates exercises to do and will join a weekly class.
There's no guarantee it'll work but the idea is to get all my muscles as strong as possible (my belly bulges because my muscles are too weak for example) and see how it affects the pain (ie if coccyx is better suspended, the pain might lessen).
In a few months, once I've done the work, we will reevaluate and if no change, I'll certainly be referred to a pain management clinic.
My understanding is that there are many things at play when it comes to coccyx pain and you need very individualised care.
Go back to your GP and ask to be referred to a women's health physio. That's where I would start. Learning to completely relax the pelvic floor when doing pelvic floor exercises is paramount in not aggravating coccyx pain for example. A women's health physiotherapist can check how you're doing this.
Otherwise, stretching your gluts might help when the pain is bad.
I'm sorry you're on the same boat. 