Long-term inflammation can have the effect of removing calcium from the bones, weakening and shrinking them. According to one web site, "Inflammation-mediated bone loss ... occurs in various diseases such as periodontal disease, osteo- and rheumatoid arthritis and some forms of osteoporosis."
In dentistry it is recognised that bone loss caused by gum inflammation can eventually lead to teeth falling out. Also inflammation and the resulting loss of bone can cause dental implants to fall out.
Years of inflammation around the coccyx can have the same effect. Several people who have had their coccyxes removed have been told by their surgeons that the coccyx crumbled when they removed it. When my surgeon removed my coccyx, he accidentally cut through the sacrum with his scalpel, instead of between the sacrum and coccyx, showing how weak the bone was.
It is known that corticosteroids can cause loss of bone in sufferers from inflammatory bowel disease (IBD), who have to take these drugs daily. It is not clear whether occasional injections of corticosteroids given to relieve coccyx pain could also cause bone loss.