If it feels like its coming from deep down on your coccyx and doesn't feel skeletal, it could be a case of polynidal sinus which is a crest of hair or pit under the skin that can become irritated and inflammed and eventually an abcess. If it persists, go to the doctor and suggest it. Antibiotics usually clear it up but you need to get to it before it develops into an abcess. It isnt that common for women but I have suffered from it several times.
If you touch the area, is it ultra sensitive when apply pressure? I hope it isn't this for you as it can be very uncomfortable. Hopefully it is something that will pass quickly for you -x-