I had pain in the skin over the coccyx before I got a new saddle. It's hard to explain -- sort of felt like the skin/muscles in that area had been injured. It wasn't pain in the bone itself.

I'm not sure if that's similar to what you are describing, but for me it was a saddle issue. I was sliding around on the soft, squishy saddle and I think it stretched or injured the skin or muscle. All was well when I got a firmer saddle with the sit bones properly supported.

You mentioned shifting around on the saddle -- for me, that was a sign I had the wrong saddle. When I got the right one, I just fit right on it.